資産取り替えオプションの価値

最近ハル教授の教科書を復習をしながら資産取り替えオプションの値段計算式の由来に関して悩みました。Three issues were the 1. derivation of the composite volatility in terms of sigmau, sigmav, and correlation, 2. the derivation of f0 in terms of exp(-quT), and 3. the definition of d1 and d2 when qu and qv income is earned in U and V, respectively.