OPT_AMER_EXCHANGE(spot1,spot2,qty1,qty2,time,rate,cost_of_carry1,cost_of_carry2,volatility1, volatility2, rho)
OPT_AMER_EXCHANGE models the theoretical price of an American option to exchange one asset with quantity qty2 and spot price spot2 for another, with quantity qty1 and spot price spot1.
time is the initial maturity of the option in years.
rate is the annualized risk-free rate of interest.
cost_of_carry1 & cost_of_carry2 are the leakage in value of the underlying assets, for common stocks, this would be the dividend yield.
volatility1 & volatility2 are the annualized volatility in price of the underlying assets.
rho is the correlation between the two assets.
OPT_EURO_EXCHANGE, OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.