There is no such convenience that I know of, but you may consider the following:
1-) The exit option is usually the lowest in the options menus, so you can hit left selection key, press up key once and hit middle selection key.
2-) Most apps will close if you hit the end call key.
3-) If you need to immediately hide the application that is currently active, you may press the menu or end call key.
4-) If you press and hold down the menu key, a list of all open programs will pop-up, there, you can scroll to any application and switch to it by pressing midde selection key or close the application using clear key.