A Reduction Method Applicable to Compound Option Formulas

DOI10.1287/mnsc.35.7.823zbMath0699.65014OpenAlexW2106479338MaRDI QIDQ3477872

Mark Schroder

Publication date: 1989

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.35.7.823

zbMATH Keywords

reduction methodcorrelation matrixoption pricing theorymultivariate normal integrals

Mathematics Subject Classification ID

Multivariate analysis (62H99) Microeconomic theory (price theory and economic markets) (91B24) Numerical quadrature and cubature formulas (65D32)

Related Items (3)

The generalized sequential compound options pricing and sensitivity analysis ⋮ The valuation of American barrier options using the decomposition technique ⋮ Valuing flexibility: An impulse control framework

This page was built for publication: A Reduction Method Applicable to Compound Option Formulas