论文信息 - AMERICAN EXCHANGE OPTIONS AND A PUT‐CALL TRANSFORMATION: A NOTE

AMERICAN EXCHANGE OPTIONS AND A PUT‐CALL TRANSFORMATION: A NOTE

This note presents the following two results. First, the finite-lived American option to exchange one asset for another is transformed into a finite-lived American call, for which a large set of excellent PC-based programmes is available. And second, the finite-lived American put is transformed into acorresponding call. Thus, it is unnecessary to develop and implement a separate numerical method for the American put.

Petter Bjerksund | Gunnar Stensland | Petter Bjerksund | G. Stensland

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