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.
|Date of creation:||12 Sep 2005|
|Date of revision:|
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