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

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Author Info

  • 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)

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    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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    Bibliographic Info

    Paper provided by Department of Business and Management Science, Norwegian School of Economics in its series Discussion Papers with number 2005/5.

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    Length: 4 pages
    Date of creation: 12 Sep 2005
    Date of revision:
    Handle: RePEc:hhs:nhhfms:2005_005

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    Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
    Phone: +47 55 95 92 93
    Fax: +47 55 95 96 50
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    Web page: http://www.nhh.no/en/research-faculty/department-of-business-and-management-science.aspx
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    Related research

    Keywords: Barrier Exchange Option; Option Pricing;

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