- In
mathematical finance,
Margrabe's formula is an
option pricing formula applicable to an
option to
exchange one
risky ****et for
another risky ****et at...
- another. An
explicit solution,
Margrabe's formula, is
available in this case, and this type of
option is also
known as a
Margrabe option or an outperformance...
-
derivation below. The
Black formula is
easily derived from the use of
Margrabe's formula,
which in turn is a simple, but clever,
application of the Black–Scholes...
-
Implied trinomial tree Garman-Kohlhagen
model Lattice model (finance)
Margrabe's formula Carr–Madan
formula Pricing of
American options Barone-Adesi and...
- Black–Scholes (equation)
Finite difference Garman–Kohlhagen
Heston Lattices Margrabe Put–call
parity MC
Simulation Real
options Trinomial Vanna–Volga...
- Sandor, Richard; Jonas, Stan; Dembo, Ron; Holt, George; Tanenbaum, Richard;
Margrabe, William; Mudge, Dan; Lam, James; Rozsypal, Jim (April 1998). Roundtable:...
- Black–Scholes (equation)
Finite difference Garman–Kohlhagen
Heston Lattices Margrabe Put–call
parity MC
Simulation Real
options Trinomial Vanna–Volga...
- Black–Scholes (equation)
Finite difference Garman–Kohlhagen
Heston Lattices Margrabe Put–call
parity MC
Simulation Real
options Trinomial Vanna–Volga...
- Black–Scholes (equation)
Finite difference Garman–Kohlhagen
Heston Lattices Margrabe Put–call
parity MC
Simulation Real
options Trinomial Vanna–Volga...
- Black–Scholes (equation)
Finite difference Garman–Kohlhagen
Heston Lattices Margrabe Put–call
parity MC
Simulation Real
options Trinomial Vanna–Volga...
