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06024. Exchange option (Margrabe formula)

difficulty 2100·answer type: expression·✓Not solved

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Book: Green Book
Chapter: 6 · Finance
Section: 6.3 · Option Portfolios and Exotic Options
Pages: 177–178
Difficulty: 2100
Answer type: expression
Solved by: 0
Attempts: 0

Tags

finance options exchange-option margrabe-formula change-of-numeraire

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QuantForces · problems from Xinfeng Zhou, A Practical Guide to Quantitative Finance Interviews