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Exchange option

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created by: Thijs van den Berg (http://www.sitmo.com)
Exchange option equation

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The exchange option gives the owner the right to exchange one asset for another. The payoff is the positive difference between the target and source asset. The exchange option is a spread call option with 0 strike.

List of symbols

Value of the exchange option at expiration
Price of the asset that can be changed to at expiration
Price of the asset that can be exchange at expiration

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