A Note on a Barrier Exchange Option: The World’s Simplest Option Formula?

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.

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Year of publication:	2005-09-12
Authors:	Lindset, Snorre ; Persson, Svein-Arne
Institutions:	Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
Subject:	Barrier Exchange Option \| Option Pricing

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion Papers Number 2005/5 4 pages
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005206992