An integral equation representation for American better-of option on two underlying assets

Abstract In this paper, we study the problem for pricing of American better-of option on two assets. Due to correlated underlying assets and early-exercise feature which requires free boundaries be determined price, is a complex. We propose new efficient approach solve problem. Mellin transform methods are mainly used find formula, explicit formula price derived as an integral equation representation. The has represented by coupled equations. numerical scheme based recursive integration method implement equations show that our with proposed accurate in computing prices. addition, illustrate significant movements prices respect selected parameters.