Options to expand and to contract in combination

DOI10.1016/j.aml.2006.08.011zbMath1151.91470OpenAlexW2041525576MaRDI QIDQ2470332

Rossella Agliardi

Publication date: 14 February 2008

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2006.08.011

zbMATH Keywords

real optionsbivariate distributioncompound options

Mathematics Subject Classification ID

Related Items (2)

A comprehensive mathematical approach to exotic option pricing ⋮ The quintessential option pricing formula under Lévy processes

Cites Work

• A generalization of the Geske formula for compound options

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