Find the arbitrage-free price of option

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Consider a 6-month option to exchange a stock share with current price $100 with volatility σ1=15% with another different stock share with current price $120 with volatility σ2=25%. Assume that the covariance between the prices for these two shares is -0.005. Find the arbitrage-free price of this option.

Reference no: EM131929167

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