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  • European Exchange Option

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    luca pilotti
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    EuropeanExchangeOption

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    2 views1 page

    European Exchange Option

    Uploaded by

    luca pilotti

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    European Exchange Options

    http://investexcel.net
    Mugrabe (1978)

    Parameters
    Time to Maturity 3.003
    Correlation Coeff 0.300
    Asset 1 Asset 2
    Price 200.00 115.00
    Volatility 28.00% 36.00%
    Dividend Yield 2.00% 5.00%

    Results
    Value 96.14222

    Intermediate Calculations
    E_2 0.14752
    dt 0.665584
    W1 1.015876
    W2 0.350291
    NW1 0.845156
    NW2 0.63694

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