An Analytic Formula for the Price of American Exchange Options

17 Pages Posted: 13 May 2009 Last revised: 15 May 2009

See all articles by S. Gounden

S. Gounden

affiliation not provided to SSRN

John G O'Hara

University of KwaZulu-Natal; University of Essex - Centre for Computational Finance and Economic Agents

Date Written: April 2, 2009

Abstract

In this article we demononstrate how to find an analytic solution to the pricing of American exchange options using homotogy methods. As an aside we derive formula for American call and put options when the underlying pays a continuous dividend. These solutions are given in terms of power series.

Keywords: American exchange, American put, pricing options

Suggested Citation

Gounden, S. and O'Hara, John G and O'Hara, John G, An Analytic Formula for the Price of American Exchange Options (April 2, 2009). Available at SSRN: https://ssrn.com/abstract=1403746 or http://dx.doi.org/10.2139/ssrn.1403746

S. Gounden

affiliation not provided to SSRN ( email )

John G O'Hara (Contact Author)

University of KwaZulu-Natal ( email )

Umbilo Road
Durban 4000, KZN 4000
South Africa

University of Essex - Centre for Computational Finance and Economic Agents ( email )

Wivenhoe Park
Colchester, Essex CO4 3SQ
United Kingdom

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