MARGRABE OPTION
\mˈɑːɡɹe͡ɪb ˈɒpʃən], \mˈɑːɡɹeɪb ˈɒpʃən], \m_ˈɑː_ɡ_ɹ_eɪ_b ˈɒ_p_ʃ_ə_n]\
Sort: Oldest first
-
US risk-management consultant William Margrabe invented this in 1978. Exchanging of one asset for another as the basis of a futures contract, like a cross currency option. He also devised a price calculation formula. Also known as exchangeable option or outperformance option. Also refer to rainbow option.
By Henry Campbell Black
