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Takeover Foreign Exchange Call

where

where

c = Value of European call option

V = Value of the foreign firm in foreign currency

B = Number of units of foreign currency

X = Strike price in units of domestic currency per unit of the foreign currency

E = Exchange rate in units of domestic currency per unit of foreign currency

T = Time to maturity

= Volatility of currency price

r = Domestic risk free rate

rf = Foreign risk free rate

= Correlation between foreign and the domestic exchange currency.

 

See Also

oX_TakeOverForEx( ) Function

oX_TakeOverForEx_Imp( ) Function

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