Margrabe Exchange Option Price

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/margrabe \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S1": 105,
  "S2": 100,
  "q1": 0.02,
  "q2": 0.015,
  "sigma1": 0.3,
  "sigma2": 0.25,
  "rho": 0.6,
  "time_to_maturity": 1
}
'

{
  "success": true,
  "data": {
    "margrabe_call": 12.456,
    "margrabe_put": 7.234
  }
}

quantlib-pricing

Margrabe Exchange Option Price

Price an exchange option using Margrabe’s formula. An exchange option gives the right to exchange one asset for another: payoff = max(S1 - S2, 0) for a call.

Special Case: When strike K = 0, a spread option becomes a Margrabe exchange option.

Use Cases:

Price options to exchange one asset for another
Value executive stock options (exchange labor for stock)
Price merger arbitrage options
Value switching options (switch between two production modes)
Real options analysis (technology switching, fuel switching)

Note: Returns both call and put prices (option to exchange S1 for S2, and vice versa).

Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]

POST

quantlib

pricing

margrabe

Margrabe Exchange Option Price

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/margrabe \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S1": 105,
  "S2": 100,
  "q1": 0.02,
  "q2": 0.015,
  "sigma1": 0.3,
  "sigma2": 0.25,
  "rho": 0.6,
  "time_to_maturity": 1
}
'

{
  "success": true,
  "data": {
    "margrabe_call": 12.456,
    "margrabe_put": 7.234
  }
}

Authorizations

X-API-Key

string

header

required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

number

required

Current price of first asset

Example:

105

number

required

Current price of second asset

Example:

100

sigma1

number

required

Annualized volatility of first asset (decimal format)

Example:

0.3

sigma2

number

required

Annualized volatility of second asset (decimal format)

Example:

0.25

rho

number

required

Correlation between the two assets

Example:

0.6

time_to_maturity

number

required

Time to expiration in years

Example:

1

number

default:0

Continuous dividend yield of first asset (decimal format)

Example:

0.02

number

default:0

Continuous dividend yield of second asset (decimal format)

Example:

0.015

Response

Successful calculation

success

boolean

Example:

true

data

object

Show child attributes

Kirk Spread Option Greeks

Basket Option Price (Levy Approximation)