{"title":"American Exchange option driven by a Lévy process","authors":"Zakaria Marah","doi":"arxiv-2307.10900","DOIUrl":null,"url":null,"abstract":"We consider the problem of pricing American Exchange options driven by a\nL\\'evy process. We study the properties of American Exchange options, we\nrepresented it as the sum of the price of the corresponding European exchange\noption price and an early exercise premium. Secondly, we show some properties\nof the free boundary and give an approximative formula of an American Exchange\noption.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2307.10900","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We consider the problem of pricing American Exchange options driven by a
L\'evy process. We study the properties of American Exchange options, we
represented it as the sum of the price of the corresponding European exchange
option price and an early exercise premium. Secondly, we show some properties
of the free boundary and give an approximative formula of an American Exchange
option.
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