AMERICAN EXCHANGE OPTIONS AND A PUT‐CALL TRANSFORMATION: A NOTE
展示了两个结果：将有限期美式交换资产期权转换为有限期美式看涨期权，以及将有限期美式看跌期权转换为相应的看涨期权，从而无需为美式看跌期权单独开发数值方法。
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.