Exotic Derivatives LAT4092
Margrabe Option Derivation
Summary
A derivation and application of the Margrabe formula for an option to exchange one risky asset for another.
Context
The report develops the exchange-option valuation formula and applies it in the exotic-derivatives course.
Main contributions
- Derives the Margrabe exchange-option formula.
- Connects the derivation to a concrete pricing application.
- Documents the work in a course report.