American Exchange option driven by a Lévy process

2023/07/20 by Marah, Zakaria
#FOS: Economics and business #Pricing of Securities (q-fin.PR)

paper · doi:10.48550/arxiv.2307.10900

Abstract

We consider the problem of pricing American Exchange options driven by a Lévy 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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