美国交易所期权由一个lsamvy过程驱动

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-07-20 DOI:arxiv-2307.10900

Zakaria Marah

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摘要

我们考虑了由每一过程驱动的美国外汇期权定价问题。本文研究了美式期权的性质，将其表示为相应的欧式期权价格和早期行权溢价的总和。其次，给出了自由边界的一些性质，并给出了美式交换期权的近似公式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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American Exchange option driven by a Lévy process

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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arXiv - QuantFin - Pricing of Securities

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