The generalized sequential compound options pricing and sensitivity analysis
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Publication:2473063
DOI10.1016/j.mathsocsci.2007.07.001zbMath1132.91471OpenAlexW2034905252MaRDI QIDQ2473063
Fang-Bo Yeh, Meng-Yu Lee, An-Pin Chen
Publication date: 26 February 2008
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2007.07.001
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- A generalization of the Geske formula for compound options
- A Reduction Method Applicable to Compound Option Formulas
- The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note
- The Numerical Evaluation of Certain Multivariate Normal Integrals