Pricing of generalized compound options with random execution time

MaRDI QIDQ4983839zbMATH OpenFDO

Authors Lin Xiao

Publication date 26 April 2021

zbMATH Keywords

generalized compound optionoption pricingoption property

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• A generalization of the Geske formula for compound options
• Compound options with time-dependent parameters
• A simple method for generalized sequential compound options pricing
• A new generalized European option pricing model and the properties
• The generalized sequential compound options pricing and sensitivity analysis

Cited in

(8)

• A generalization of the Geske formula for compound options
• A simple method for generalized sequential compound options pricing
• The generalized sequential compound options pricing and sensitivity analysis
• RANDOM TIME FORWARD-STARTING OPTIONS
• scientific article; zbMATH DE number 5284332 (Why is no real title available?)
• Valuation of compound option when the underlying asset is non-tradable
• A new generalized European option pricing model and the properties
• Compound options with time-dependent parameters

This page was built for publication: Pricing of generalized compound options with random execution time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4983839)