Article ID Journal Published Year Pages File Type
5069892 Finance Research Letters 2006 5 Pages PDF
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.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A note on a barrier exchange option: The world's simplest option formula?
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