What is the value of a one-year option on the maximum of two assets when both assets

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What is the value of a one-year option on the maximum of two assets when both assets are trading at $100 each, their volatilities are 50% and 40%, and the correlation between their returns is +0.30? Both assets pay no dividends.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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What is the value of a one-year option on the maximum of two assets when both assets

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The following program may be used to compute the option value Max od 2 assets Exchange Opt...View the full answer

Derivatives Principles And Practice

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