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

Snorre Lindset and Svein-Arne Persson ()
Additional contact information
Svein-Arne Persson: Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration, Postal: NHH , Department of Finance and Management Science, Helleveien 30, N-5045 Bergen, Norway, http://www.nhh.no/for/cv/persson-svein-arne.htm

No 2005/5, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

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.

Keywords: Barrier Exchange Option; Option Pricing (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 4 pages
Date: 2005-09-12
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A note on a barrier exchange option: The world's simplest option formula? (2006)
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