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Under the risk-neutral measure both stocks follow the GBMs \begin{align} S^{(i)}_t=S^{(i)}_0\exp\left((r-q_i)t+\sigma_iW^{(i)}_t-\frac{\sigma_i^2t}{2}\right)\,,\quad i=1,2\,, \end{align} where the constant $r$ is the riskless interest rate and the constant $q_i$ is stock $S^{(i)}$'s dividend rate. The Margrabe formula says that the value of the option to ...


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