What is the exchange option worth

Reference no: EM13187678

Suppose gold is worth 10 and silver is worth 1, gold volatility is .2, silver volatility is .3, and the correlation is . Price the European option to swap gold for silver that matures in 6 months. suppose the storage cost, as a rate, of gold is .05 and of silver is .06. What is the exchange option worth?

Reference no: EM13187678

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