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Compute the two deltas for the Margrabe exchange option one delta for each underlying asset Plot these as a function of R and S You might want to plot as a function of R for several fixed values

Compute the two deltas for the Margrabe exchange option (one delta for each underlying asset). Plot these as a function of R and S. You might want to plot as a function of R for several fixed values of S and vice versa. Explain what you see.

May 18 2020 View more View Less

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