scientific article; zbMATH DE number 5019956

zbMath1171.91344MaRDI QIDQ5290317

M. Van Wouwe, L. Thomassen

Publication date: 28 April 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

closed-form solutions\(n\)-fold compound call options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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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 ⋮ The generalized sequential compound options pricing and sensitivity analysis ⋮ Unnamed Item

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