Since 2014
Riesgo de Tasas de Interés en Opciones de Intercambio
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Riesgo de Tasas de Interés en Opciones de Intercambio
Riesgo de Tasas de Interés en Opciones de Intercambio |
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| Creator |
Zurita, Salvador
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| Description |
Margrabe (1978) studied the problem of the valuation of the option of exchanging one risky asset for another. One interesting feature of the valuation formula that he obtained was that the value of the option was independent of the risk-free rate of interest. In this article we extend Margrabe's result to include assets that pay a dividend yield, and commodities (both commercial and precious). In all cases the initial result holds: the exchange option is independent of the risk-free rate of interest.
Margrabe (1978) studied the problem of the valuation of the option of exchanging one risky asset for another. One interesting feature of the valuation formula that he obtained was that the value of the option was independent of the risk-free rate of interest. In this article we extend Margrabe's result to include assets that pay a dividend yield, and commodities (both commercial and precious). In all cases the initial result holds: the exchange option is independent of the risk-free rate of interest. |
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2010-03-07
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/103
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 15, No 2 (2000); 49-67
Revista de Análisis Económico – Economic Analysis Review; Vol 15, No 2 (2000); 49-67 0718-8870 0716-5927 |
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| Language |
spa
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/103/198
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