Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 16, 2010 erstellt
Beschreibung:
An exchange option, also called “Margrabe option”, gives the right, but not the obligation to exchange an asset for another asset. In a recent paper in the Encyclopedia of Quantitative Finance (2010), Professor Rolf Poulsen writes that “[t]he Margrabe formula is still valid with stochastic interest rates, provided the factors that drive interest rates are independent of those driving the S-assets”. This note proves that the Margrabe formula may still be valid in the case when the interest rates are stochastic even if they are dependent on the assets