Margrabe option

Margrabe option,

Definition of Margrabe option:

  1. Futures contract based on exchange of one asset for another, such as in cross currency option. Invented in 1978 by the US risk-management consultant William Margrabe who also devised a formula for determining its price. Also called exchangeable option, outperformance option. See also rainbow option.

Meaning of Margrabe option & Margrabe option Definition