Discussion Papers, Department of Finance and Management Science, Norwegian School of Economics (NHH)
No 2005/5:
A Note on a Barrier Exchange Option: The World’s Simplest Option Formula?
Snorre Lindset ()
and Svein-Arne Persson ()
Abstract: The paper analyzes a barrier exchange option that is
knocked out the first time the two underlying assets have identical market
values. Under rather general conditions regarding the price processes for
the underlying assets, probably the world’s simplest option pricing formula
is derived. It applies both to options of American and European type.
Keywords: Barrier Exchange Option; Option Pricing; (follow links to similar papers)
JEL-Codes: G10; (follow links to similar papers)
4 pages, September 12, 2005
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