This option pricing model is an extension to the Margrabe model for exchange options. The exchange option allows the holder to exchange one asset for another at expiration. This extension exchange option has the extension that the holder can exchange one asset to another at different times.

List of symbols

C	Price of the exchange option
	The value of the first underlying. This is the underlying to which you can exchange.
	The current underlying, this underlying can be exchanged into the other.
	Yields of the underlyings.
	Volatilities of the two underlyings.
	Correlation between the two underlyings.
	Time till expiration.

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