A generalization of the Geske formula for compound options
From MaRDI portal
Publication:1810719
DOI10.1016/S0165-4896(02)00081-1zbMath1031.91046MaRDI QIDQ1810719
Elettra Agliardi, Agliardi Rossella
Publication date: 9 June 2003
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Related Items (10)
N-Fold compound option pricing with technical risk under fractional jump-diffusion model ⋮ Calibration of the temporally varying volatility and interest rate functions ⋮ The pricing of compound option under variance gamma process by FFT ⋮ A simple method for generalized sequential compound options pricing ⋮ Pricing of Quanto power options and related exotic options ⋮ A comprehensive structural model for defaultable fixed-income bonds ⋮ Options to expand and to contract in combination ⋮ The generalized sequential compound options pricing and sensitivity analysis ⋮ A generalization of exotic options pricing formulae ⋮ Fuzzy optimization of option pricing model and its application in land expropriation
Cites Work
This page was built for publication: A generalization of the Geske formula for compound options
