Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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ON THE OPTION VALUATION AND DECOMPOSITION OF EXCHANGE OPTION

  • Choi, Won (Department of Mathematics, University of Incheon) ;
  • Ahn, Seung-Chul (Department of Computer Science and Statistics, Woo Suk University)
  • Published : 2002.05.01

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Abstract

In this paper, we Shall find the unique rational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.

Keywords

References

  1. Probabilities and potential theory of martingales C.Dellacherie;P.A.Meyer
  2. Lectures on the mathematics of finance I.Karatzas
  3. Stochastics and Stochastic Repts v.34 A new approach to the Skorohod problem and its applications E.Karoui;I.Karatzas
  4. Arbitrage pricing of contingent claims S.Muller