Lindset, Snorre () (Dept. of Industrial Economics and Technology Management, Norwegian University of Science and Technology (NTNU)) Persson, Svein-Arne () (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)
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.
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Publisher Info
Paper provided by Department of Finance and Management Science, Norwegian School of Economics and Business Administration in its series Discussion Papers with number
2005/5.
Length: 4 pages Date of creation: 12 Sep 2005 Date of revision: Handle: RePEc:hhs:nhhfms:2005_005
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