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Margrabe : Exchange Option |
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Exchange Option |
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Gold |
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d1 |
-0.2536 |
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Asset (V) |
$380.00 |
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N(d1) |
0.3999 |
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Volatity (V) |
20.0% |
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d2 |
-0.4086 |
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Yield (V) |
$0.00 |
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N(d2) |
0.3414 |
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Silver |
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Option Price |
$15.384 |
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Asset (U) |
$400.00 |
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Volatity (U) |
20.0% |
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Yield (U) |
$0.00 |
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Correlation (U,V) |
0.70 |
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Volatility |
15.49% |
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Riskfree rate (r) |
10.00% |
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Term (T) |
1.00 |
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