European Exchange Option

me2008 · April 9th, 2008, 12:31 pm

i'm trying plot the exact solution with different times to expiry. my matlab script is as follows. sigma = sqrt(sigma1^2-2*rho*sigma1*sigma2+sigma2^2); d1 =(log(X./Y)+0.5*sigma^2*T)/(sigma*sqrt(T)); d2 =(log(X./Y)-0.5*sigma^2*T)/(sigma*sqrt(T)); exact = X.*normcdf(d1)-Y.*normcdf(d2)thanks in advance

mjy · April 9th, 2008, 6:19 pm

what is your question, then?

me2008 · April 9th, 2008, 11:01 pm

how can I produce graphs for different times to expiry