Calculates call 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 X1 and X2 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 X2 and X1 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, .
Range | between –1 and 1 |