Exchange option
The right to give up one equity and receive another at expiry, valued under a two-asset model.
- Exchange value today
- 0
- Price ratio, asset 1 to 2
- 1
Across asset 1
Greeks · 10
- 0.576596
- per 1 unit of asset 1
- −0.430679
- per 1 unit of asset 2
- 0.0107201
- per 1 unit of asset 1
- 0.0107201
- per 1 unit of asset 2
- −0.0107201
- per 1 unit of each asset
- 0.107201
- per 1 vol point of asset 1
- 0.268003
- per 1 vol point of asset 2
- −0.128641
- per 0.01 correlation
- 0
- per 1% rate
- −0.0198708
- per day
Model values for illustration, from fixed market data. They are not quotes.
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At expiry the holder receives the first position and gives up the second, if the first is worth more. Weights set the size of each position.
Its value depends on how the two prices move together: the less correlated they are, the more it is worth.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
The Greeks
- Delta 1 per 1 unit of asset 1
- How much the option's value changes when asset 1 moves by 1 unit, with asset 2 unchanged.
- Delta 2 per 1 unit of asset 2
- How much the option's value changes when asset 2 moves by 1 unit, with asset 1 unchanged.
- Gamma 1 per 1 unit of asset 1
- How much Delta 1 changes when asset 1 moves by 1 unit.
- Gamma 2 per 1 unit of asset 2
- How much Delta 2 changes when asset 2 moves by 1 unit.
- Cross Gamma per 1 unit of each asset
- How much Delta 1 changes when asset 2 moves by 1 unit. It is also how much Delta 2 changes when asset 1 moves by 1 unit.
- Vega 1 per 1 vol point of asset 1
- How much the option's value changes when the volatility of asset 1 rises by 1 point.
- Vega 2 per 1 vol point of asset 2
- How much the option's value changes when the volatility of asset 2 rises by 1 point.
- Correlation 01 per 0.01 correlation
- How much the option's value changes when the correlation between the two assets rises by 0.01.
- Rho per 1% rate
- How much the value changes when interest rates rise by 1 percentage point.
- Theta per day
- How much the value changes as one calendar day passes, with everything else unchanged.
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