Approximate pricing of American exchange options with jumps
提出一种基于跳跃扩散过程的美式交换期权数值定价方法，将美式期权价值分解为欧式部分和提前行权溢价，通过快速求解代数方程得到定价公式，数值实验表明该公式稳健且准确。
Abstract This paper presents a numerical method to price American exchange options based on jump‐diffusion processes. We first derive a closed‐form expression for the value of European exchange options, then decompose the value function of an American exchange option into a European counterpart, and an early exercise premium that is derived analytically. The early exercise boundary for an American exchange option approximately satisfies an algebraic equation that can be quickly numerically solved. Consequently, a formula is obtained for efficiently pricing American exchange options. The numerical results reveal that our pricing formula is robust and accurate.