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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク William Margrabe ： ウィキペディア英語版 Margrabe's formula In mathematical finance, Margrabe's formula〔William Margrabe, ("The Value of an Option to Exchange One Asset for Another" ), Journal of Finance, Vol. 33, No. 1, (March 1978), pp. 177-186.〕 is an option pricing formula applicable to an option to exchange one risky asset for another risky asset at maturity. It was derived by William Margrabe (Phd Chicago) in 1978. Margrabe's paper has been cited by over 1500 subsequent articles.〔 Google Scholar's ("cites" page for this article )〕 ==Formula== Suppose ''S1(t)'' and ''S2(t)'' are the prices of two risky assets at time ''t'', and that each has a constant continuous dividend yield ''qi''. The option, ''C'', that we wish to price gives the buyer the right, but not the obligation, to exchange the second asset for the first at the time of maturity ''T''. In other words, its payoff, ''C(T)'', is max(0, ''S1(T) - S2(T))''. If the volatilities of ''Si'' 's are ''σi'', then $\backslash textstyle\backslash sigma\; =\; \backslash sqrt$, where ''ρ'' is the Pearson's correlation coefficient of the Brownian motions of the ''Si'' 's. Margrabe's formula states that the fair price for the option at time 0 is: :$e^S\_1(0)\; N(d\_1)\; -\; e^S\_2(0)\; N(d\_2)$ :where: ::$N$ denotes the cumulative distribution function for a standard normal, ::$d\_1\; =\; (ln\; (S\_1(0)/S\_2(0))\; +\; (q\_2\; -\; q\_1\; +\; \backslash sigma^2/2)T)/\; \backslash sigma\backslash sqrt$, ::$d\_2\; =\; d\_1\; -\; \backslash sigma\backslash sqrt$. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Margrabe's formula」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.