A simple method for generalized sequential compound options pricing

DOI10.1016/j.mathsocsci.2017.03.001zbMath1397.91576OpenAlexW2593785233MaRDI QIDQ2406942

Xiandong Wang, Jian-min 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

Cites Work

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