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On the option valuation and decomposition of exchange option |
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| Authors: | Won Choi Seung Chul Ahn |
| Institution: | (1) Manchester Business School, Booth Street West, Manchester, M15 6PB, UK |
| Abstract: | In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option. |
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