Margrabe option
Definition
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 or outperformance option. See also rainbow option.
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Margrabe option is in the Commodities & Precious Metals Trading, Currency Trading, Disaster Planning & Risk Management, Investing and Securities & Futures Trading subjects.
Margrabe option appears in the definitions of the following terms: rainbow option, cross-currency option and exchangeable option
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