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hull.22.12_margrabe by btzoho  89 views
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Margrabe : Exchange OptionExchange Option
Goldd1-0.2536
Asset (V)$380.00 N(d1)0.3999
Volatity (V)20.0%d2-0.4086
Yield (V)$0.00 N(d2)0.3414
SilverOption Price$15.384
Asset (U)$400.00
Volatity (U)20.0%
Yield (U)$0.00
Correlation (U,V) 0.70
Volatility15.49%
Riskfree rate (r)10.00%
Term (T)1.00
Margrabe
 
     
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