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 and has implications for credit spreads and for static hedging of barrier options. © 2006 Elsevier Inc. All rights reserved.
Author supplied keywords
Cite
CITATION STYLE
APA
Lindset, S., & Persson, S. A. (2006). A note on a barrier exchange option: The world’s simplest option formula? Finance Research Letters, 3(3), 207–211. https://doi.org/10.1016/j.frl.2006.02.002
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for free