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THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

Authors

  • William Margrabe

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    • Lecturer, Department of Finance, The Wharton School, University of Pennsylvania. The author thanks Stephen Ross, Jeffrey Jaffe, and Randolph Westerfield for helpful discussions; Sudipto Bhattacharya, a referee for this Journal, for useful comments; and the Rodney L. White Center for Financial Research for assistance in preparing the manuscript.

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