d**m
发帖数: 1 | 1 現在有個call option, 它的payoff是max(0, V1-V2).V1,V2分別為兩個不同stock的價
格。在這種情況下，如果要用black-scholes model, assumuptions 要作哪些改變？謝
謝大家指點！ | x**p
发帖数: 105 | 2 Assuming V1 and V2 follow two different BMs, use V2 as numerarire to get rid
of one BM and convert that problem to V2*max(0,V1/V2-1), where V1/V2 follow
one dimensional BM. That is a standard B-S problem. You need to consider
correlation between V1 and V2 to get the correct BM of V1/V2.
【在 d**m 的大作中提到】
: 現在有個call option, 它的payoff是max(0, V1-V2).V1,V2分別為兩個不同stock的價
: 格。在這種情況下，如果要用black-scholes model, assumuptions 要作哪些改變？謝
: 謝大家指點！
| t**********a
发帖数: 166 | 3 One addition: if V2 has dividend, you need to take that into account for
numeraire.
check derivation of Margrabe formula
rid
follow
【在 x**p 的大作中提到】
: Assuming V1 and V2 follow two different BMs, use V2 as numerarire to get rid
: of one BM and convert that problem to V2*max(0,V1/V2-1), where V1/V2 follow
: one dimensional BM. That is a standard B-S problem. You need to consider
: correlation between V1 and V2 to get the correct BM of V1/V2.
| m*d
发帖数: 103 | | c******e
发帖数: 25 | 5 stike=0, model spread dynamics? |
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