A Reduction Method Applicable to Compound Option Formulas

DOI10.1287/MNSC.35.7.823MaRDI QIDQ3477872zbMATH OpenOpenAlexFDO

Authors Mark Schroder

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.7.823

zbMATH Keywords

correlation matrixmultivariate normal integralsoption pricing theoryreduction method

Mathematics Subject Classification ID

Multivariate analysis (62H99) Numerical quadrature and cubature formulas (65D32) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(5)

• Valuing flexibility: An impulse control framework
• The valuation of American barrier options using the decomposition technique
• The generalized sequential compound options pricing and sensitivity analysis
• Dimension reduction and \(L_ 1\) approximation for evaluation of multivariate normal integral
• On a property of multidimensional normal distributions and its application to the computation of options

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