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We study a problem related to asset-liability management in life insurance. As shown by Wüthrich, Bühlmann and Furrer in , an insurance company can guarantee solvency by purchasing a Margrabe option enabling it to exchange its asset portfolio for a valuation portfolio. The latter can be viewed as a replicating portfolio for the insurance liabilities in terms of financial instruments. Our objective in this paper is to investigate numerically a valuation technique for such an option in a situation when the insurance company is a “large” investor, implying that its trading decisions can affect asset prices. We view this situation through the framework employed in the Cvitanic and Ma’s 1996 paper  and use the method of finite differences to solve the resulting non-linear PDE. Our results show reliability of this numerical method. Also we find, similarly to other authors, that the option price for the large investor is higher than that for a Black-Scholes trader. This makes it particularly compelling for a large insurance company to purchase a Margrabe option at the Black-Scholes price.