Equation: Worst-of-two, spread option parity

Worst-of-two, spread option parity

created by:

Thijs van den Berg (http://www.sitmo.com)

The option on the worst of two assets has a value which is the sum of one asset minus the value of an option on the spread between the assets.

	The first asset
	The second asset
	Yield of the second asset
T	Time till expiration
	The minimum of a and b
	The maximum of a and b
	Worst-of-two option
	Zero strike spread call (also known as Magrabe's exchange option)

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Call-put parity, Rainbow best-of-two »
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Call-Put Parity, Vanilla Option »
Worst-of-two-and-cash / Rainbow option parity »
Main Equations Index »

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