Calculates put prices for European options on stocks, based on the Margrabe model.
Category: | Financial |
is a nonmissing, positive value that specifies the price of the first asset.
Requirement | Specify X_{1} and X_{2} in the same units. |
is a nonmissing value that specifies the time to expiration.
is a nonmissing, positive value that specifies the price of the second asset.
Requirement | Specify X_{2} and X_{1} in the same units. |
is a nonmissing, positive fraction that specifies the volatility of the first asset.
Requirement | sigma1 must be for the same time period as the unit of t. |
is a nonmissing, positive fraction that specifies the volatility of the second asset.
Requirement | Specify a value for sigma2 for the same time period as the unit of t. |
specifies the correlation between the first and second assets, ${\rho}_{{x}_{1}{y}_{1}}$.
Range | between –1 and 1 |