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The Value of an Option to Exchange One Asset for Another

1978; Wiley; Volume: 33; Issue: 1 Linguagem: Inglês

10.2307/2326358

1540-6261

William Margrabe,

Financial Markets and Investment Strategies

The Journal of FinanceVolume 33, Issue 1 p. 177-186 Article THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER William Margrabe, William MargrabeLecturer, Department of Finance, The Wharton School, University of Pennsylvania. The author thanks Stephen Ross, Jeffrey Jaffe, and Randolph Westerfield for helpful discussions; Sudipto Bhattacharya, a referee for this Journal, for useful comments; and the Rodney L. White Center for Financial Research for assistance in preparing the manuscript.Search for more papers by this author William Margrabe, William MargrabeLecturer, Department of Finance, The Wharton School, University of Pennsylvania. The author thanks Stephen Ross, Jeffrey Jaffe, and Randolph Westerfield for helpful discussions; Sudipto Bhattacharya, a referee for this Journal, for useful comments; and the Rodney L. White Center for Financial Research for assistance in preparing the manuscript.Search for more papers by this author First published: March 1978 https://doi.org/10.1111/j.1540-6261.1978.tb03397.xCitations: 649 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat REFERENCES 1Fischer Black. "The Pricing of Commodity Contracts", Journal of Financial Economics, Volume 3 (January/March 1976). 2Fischer Black. " The Pricing of Complex Options and Corporate Liabilities", Graduate School of Business, University of Chicago, 1975. 3Fischer Black and Myron Scholes. "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, Volume 81 (May/June 1973), pp. 637–654. 4Ruel Vance Churchill. Fourier Series and Boundary Value Problems, 2nd ed. New York, McGraw-Hill, 1963. 5Stanley Fischer. "The Demand for Index Bonds", Journal of Political Economy, Volume 83 (June 1975), pp. 509–534. 6Jonathan E. Ingersoll, Jr. "A Theoretical and Empirical Investigation of the Dual Purpose Funds", Journal of Financial Economics, Volume 3 (January/March 1976), pp. 83–123. 7Fritz John. Partial Differential Equations, 2nd ed. New York, Springer Verlag, 1975. 8William Margrabe. "Alternative Investment Performance Fee Arangements and Implications for SEC Regulatory Policy: A Comment", Bell Journal of Economics, Volume 7 (Autumn 1976), pp. 716–718. 9H. P. McKean, Jr., Stochastic Integrals, New York, Academic Press, 1969. 10Robert C. Merton. "An Intertemporal Capital Asset Pricing Model", Econometrica, Volume 41 (September 1973a), pp. 867–887. 11Robert C. Merton. "The Relationship between Put and Call Option Prices: Comment", Journal of Finance, Volume 28 (March 1973b), pp. 183–184. 12Robert C. Merton. "The Theory of Rational Option Pricing", The Bell Journal of Economics and Management Science, Volume 4 (Spring 1973c), pp. 141–183. 13Franco Modigliani and Gerald A. Pogue. "Alternative Investment Performance Fee Arrangements and Implications for SEC Regulatory Policy", Bell Journal of Economics, Volume 6 (Spring 1975), pp. 127–160. 14Clifford W. Smith, Jr. "Option Pricing: A Review", Journal of Financial Economics, Volume 3 (January/March 1976), pp. 3–51. 15Hans R. Stoll. "The Relationship between Put and Call Option Prices", Journal of Finance, Volume 24 (December 1969), pp. 802–824. Citing Literature Volume33, Issue1March 1978Pages 177-186 ReferencesRelatedInformation