An Analytic Formula for the Price of American Exchange Options
17 Pages Posted: 13 May 2009 Last revised: 15 May 2009
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: 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
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