Find the price of a 365 day exchange option between equities A and B. Assume r =
Question:
Find the price of a 365 day exchange option between equities A and B. Assume r = 6 %, σB = 20 % and the current price of B is $60. Plot the price as a function of the current price of A for σA = 15, 30, and 45 %. Assume that neither A nor B issues dividends.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
ANSWER To find the price of a 365day exchange option between equities A and B you can use the BlackS...View the full answer
Answered By
Ajay Negi
Hi, I've completed my degree in engineering (Information Technology) from an NIT. Currently working as a software engineer. Wish to impart quality education to the future generation.
2+ Reviews
10+ Question Solved
Related Book For 
Question Posted:
