Prototype
Function opt_exchange(S1 As Double,
S2 As Double,
amount1 As Double,
amount2 As Double,
sigma1 As Double,
sigma2 As Double,
correl As Double,
T As Double,
q1 As Double,
q2 As Double) As Variant
Description
This function calculates the value of either a European exchange option on two dividend paying assets.
Arguments
S1 - Double : The current value of asset 1.
S2 - Double : The current value of asset 2.
amount1 - Double : The amount of asset 1 (range 0 to 1).
amount2 - Double : The amount of asset 2 (range 0 to 1).
sigma1 -Double : The volatility of asset 1.
sigma2 -Double : The volatility of asset 2.
correl -Double : The correlation between S1 and S2.
T -Double : The option maturity (in years).
q1 -Double : The continuously compounded dividend rate for asset 1.
q2 -Double : The continuously compounded dividend rate for asset 2
M -Long : The number of time steps in the lattice.
Returned Values
The value of the option is returned.
Other Information
Information on enumeration types
List of available routines