Deriscope

The Excel Derivatives Periscope

Products

Power_Exchange_Option

Power Exchange Option is a Tradable that represents a combination of a spread and power option.
The payoff is given by:
max{ λ₁S₁(T)ᵅ¹-λ₂S₂(T)ᵅ² , 0 }
where
λ₁, α₁, λ₂, α₂ are all constants and
S₁(T), S₂(T) are the prices of two specified underlyings at the option expiry time T

The following features are currently not supported:
American exercise, barriers, discrete dividends/storage costs.

European options having this payoff can be priced using Model[Multi Asset Option]::Pricing Method =
Model[Multi Asset Option]::Pricing Method::BlenmanClark

The following QuantLib issues have been identified:
Issue::MultiAssetOption_Mixed_StartDateIgnored
Issue::MultiAssetOption_PayAtExpiry_Ignored