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American Exchange Options And A Put‐Call Transformation: A Note

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  • Petter Bjerksund
  • Gunnar Stensland

Abstract

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.

Suggested Citation

  • Petter Bjerksund & Gunnar Stensland, 1993. "American Exchange Options And A Put‐Call Transformation: A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 20(5), pages 761-764, September.
    • Handle: RePEc:bla:jbfnac:v:20:y:1993:i:5:p:761-764
    DOI: 10.1111/j.1468-5957.1993.tb00291.x
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