Financial Toolkit : Exchange Option On Exchange Option

Input
Option style1 2
Asset Asset spot price Volatility in % Cost of carry in %
1
2
Option Original Underlying
Time to maturity in yrs
1 Option style:
  1. Option to exchange Q*S2 for option to exchange S2 for S1
  2. Option to exchange the option to exchange S2 for S1, in return for Q*S2
  3. Option to exchange Q*S2 for the option to exchange S1 for S2
  4. Option to exchange the option to exchange S1 for S2, in return for Q*S2
2 Correlation between asset 1 and 2.