Alòs, Elisa; Rheinländer, Thorsten - Department of Economics and Business, Universitat … - 2015
A Margrabe or exchange option is an option to exchange one asset for another. In a general stochastic volatility framework, by taking the second asset as a numeraire, we derive pricing as well as second order approximative pricing formulae for Margrabe options. This can only be done under...