MARGRABE OPTION
\mˈɑːɡɹe͡ɪb ˈɒpʃən], \mˈɑːɡɹeɪb ˈɒpʃən], \m_ˈɑː_ɡ_ɹ_eɪ_b ˈɒ_p_ʃ_ə_n]\
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US risk-management consultant William Margrabe invented this in 1978. Exchanging of one asset for another as the basis of a futures contract, like a cross currency option. He also devised a price calculation formula. Also known as exchangeable option or outperformance option. Also refer to rainbow option.
By Henry Campbell Black
Word of the day
Snake's-head
- Guinea-hen flower; -- so called in England because its spotted petals resemble the scales of a snake's head.