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POST
Margrabe Exchange Option Price

Authorizations

X-API-Key
string
header
required

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

Body

application/json
S1
number
required

Current price of first asset

Example:

105

S2
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

q1
number
default:0

Continuous dividend yield of first asset (decimal format)

Example:

0.02

q2
number
default:0

Continuous dividend yield of second asset (decimal format)

Example:

0.015

Response

Successful calculation

success
boolean
Example:

true

data
object