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...

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Veröffentlicht in:Journal of business finance & accounting 1993-09, Vol.20 (5), p.761-764
Hauptverfasser: Bjerksund, Petter, Stensland, Gunnar
Format: Artikel
Sprache:eng
Schlagworte:
Capital market
Mathematical models
Numerical analysis
Options markets
Options on stocks
Put & call options
Securities analysis
Stock exchanges
U.S.A
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Beschreibung
Zusammenfassung: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.
ISSN:0306-686X
1468-5957
DOI:10.1111/j.1468-5957.1993.tb00291.x