A simple method for generalized sequential compound options pricing

DOI10.1016/J.MATHSOCSCI.2017.03.001MaRDI QIDQ2406942zbMATH OpenOpenAlexFDO

Authors Xiandong Wang, Jianmin He

Publication date 4 October 2017

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mathsocsci.2017.03.001

zbMATH Keywords

jump-diffusion modeloptions pricinggeneralized sequential compound optionsmultivariate normal variables

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Simple Approximation for Bivariate and Trivariate Normal Integrals
• A comparative study on time-efficient methods to price compound options in the Heston model
• A generalization of the Geske formula for compound options
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model
• Bivariate conditioning approximations for multivariate normal probabilities
• Computation of the Trivariate Normal Integral
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• Option pricing when underlying stock returns are discontinuous
• Spanning and completeness in markets with contingent claims
• The compound option approach to American options on jump-diffusions
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• The generalized sequential compound options pricing and sensitivity analysis
• The influence of a stochastic interest rate on the \(n\)-fold compound option
• Valuation of \(N\)-stage investments under jump-diffusion processes

Cited in

(6)

• N-Fold compound option pricing with technical risk under fractional jump-diffusion model
• A generalization of the Geske formula for compound options
• Pricing of generalized compound options with random execution time
• A simple analytical and numerical approach for pricing compound options
• Some applications of a closed-form solution for compound options of order \(N\)
• The generalized sequential compound options pricing and sensitivity analysis

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