American Exchange Options

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					                                          American Exchange Option
                                          Bjerksund, Stensland (1993)
                    Inputs                                                              Outputs
- Terms to Change are those highlighted in blue below
                                                        Option                                      Price
Start Date                             1-Jun-01         Exchange Option Value                     #NAME?
End Date                               1-Jun-02
Time to Maturity                          1.000



Asset 1 (to be sacrificed)                              Asset 2 (to be exchanged for)


Asset Price 1                           100.00          Asset Price 2                              105.00
Volatility                              20.00%          Volatility                                 20.00%
Dividend Yield                            7.00%         Dividend Yield                              3.00%


Correlation Coefficient                   0.500


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                                        Kevin Cheng (Jun 16, 2003)
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References:
Magrabe, W., (1978) - "The Value of an Option to Exchange One Asset for Another", Journal of Finance, 33, 177-86
Bjerksund, P., Stensland, G. (1993) "American Exchange Options and a Put-Call Transformation: A Note" , Journal of Business, Finance, and Accounting, Vol. 20, No. 5, September 1993, pp. 761-764

				
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