Alòs, ElisaRheinländer, ThorstenUniversitat Pompeu Fabra. Departament d'Economia i Empresa2018-02-142018-02-142015-03-01http://hdl.handle.net/10230/23366A Margrabe or exchange option is an option to exchange one asset for another. In a general stochastic volatility framework, by taking the second asset as a numeraire,we derive pricing as well as approximate pricing formulae for Margrabe options. The correlated Stein & Stein and the 3=2 model are studied as particular examples. Moreover, we derive the general mean-variance optimal hedging strategy and show that it is a delta-hedge only in case of zero correlation between asset prices and volatility.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsPricing and hedging Margrabe options with stochastic volatilities<resourceType xmlns="http://datacite.org/schema/kernel-3" resourceTypeGeneral="Other">info:eu-repo/semantics/workingPaper</resourceType><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">stochastic volatility; margrabe options; change of numeraire; mean-variance hedging; malliavin calculus</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Statistics, Econometrics and Quantitative Methods</subject><rights xmlns="http://datacite.org/schema/kernel-3">info:eu-repo/semantics/openAccess</rights>