Equation: Best-of-two, spread option parity

Best-of-two, spread option parity

created by:

Thijs van den Berg (http://www.sitmo.com)

The option on the best of two assets has a value which is the sum of one asset plus the value of an option on the spread between the assets.

	The first asset
	The second asset
	The maximum of a and b
	Yield of the first asset
	Best-of-two call
	Zero strike spread call (also known as Magrabe's exchange option)

Related Equations
Barrier in-out parity »
Best-of-two-and-cash / Rainbow option parity »
Call-Put Parity, Binary asset-or-nothing option »
Call-Put Parity, Binary cash-or-nothing option »
Call-put parity, Rainbow best-of-two »
Call-put parity, Rainbow worst-of-two »
Call-Put Parity, Vanilla Option »
Worst-of-two, spread option parity »
Worst-of-two-and-cash / Rainbow option parity »
Main Equations Index »

All text and equations on this page are freely available under the terms of the GNU Free Documentation License


Word	Pdf	LaTeX

equation image:
.gif image