The generalized sequential compound options pricing and sensitivity analysis

DOI10.1016/J.MATHSOCSCI.2007.07.001zbMATH Open1132.91471OpenAlexW2034905252MaRDI QIDQ2473063FDOQ2473063

Authors: Meng-Yu Lee, Fang-Bo Yeh, 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

Recommendations

• A simple method for generalized sequential compound options pricing
• A generalization of the Geske formula for compound options
• Pricing of generalized compound options with random execution time
• Some applications of a closed-form solution for compound options of order \(N\)
• A simple analytical and numerical approach for pricing compound options

zbMATH Keywords

option pricingreal optionrisk-neutralproject valuationLeibnitz's rulesequential compound option

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• The influence of a stochastic interest rate on the \(n\)-fold compound option
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Numerical Evaluation of Certain Multivariate Normal Integrals
• 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

Cited In (6)

• Pricing of generalized compound options with random execution time
• Valuation of \(N\)-stage investments under jump-diffusion processes
• N-Fold compound option pricing with technical risk under fractional jump-diffusion model
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A simple method for generalized sequential compound options pricing
• Research on compound real option simulation pricing problem based on American-style option simulation

This page was built for publication: The generalized sequential compound options pricing and sensitivity analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2473063)