A Note on a Barrier Exchange Option: The World's Simplest Option Formula?
Finance Research Letters, Vol. 3, No. 3, pp. 207-211, 2006
NHH Dept. of Finance & Management Science Discussion Paper No. 2005/5
Posted: 19 Mar 2007
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.
Suggested Citation: Suggested Citation
Lindset, Snorre and Persson, Svein-Arne, A Note on a Barrier Exchange Option: The World's Simplest Option Formula?. Finance Research Letters, Vol. 3, No. 3, pp. 207-211, 2006, NHH Dept. of Finance & Management Science Discussion Paper No. 2005/5, Available at SSRN: https://ssrn.com/abstract=970177
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