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Two-Asset Correlation Options

where

also where

c = Price of European call

p = Price of European put

S1 = The spot of the underlying asset one

S2 = The spot of the underlying asset two

X1 = Strike on asset one

X2 = Strike on asset two

b1 = The cost of carry

b2 = The cost of carry

r = The risk free rate

T = Time to expiry of the option

= Volatility of underlying asset one's price

= Volatility of underlying asset two's price

= The correlation coefficient

 

See Also

oX_TwoAssetCorrelation( ) Function

oX_TwoAssetCorrelation_Imp( ) Function

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