The generalized sequential compound options pricing and sensitivity analysis
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Publication:2473063
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Cites work
- scientific article; zbMATH DE number 3626409 (Why is no real title available?)
- scientific article; zbMATH DE number 1253579 (Why is no real title available?)
- scientific article; zbMATH DE number 947803 (Why is no real title available?)
- A Reduction Method Applicable to Compound Option Formulas
- A generalization of the Geske formula for compound options
- The Numerical Evaluation of Certain Multivariate Normal Integrals
- The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note
- The influence of a stochastic interest rate on the \(n\)-fold compound option
- The pricing of options and corporate liabilities
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
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