Compound options with time-dependent parameters

zbMATH Open1103.60059MaRDI QIDQ5490684FDOQ5490684

Authors: Ronghua Li, Yonghong Dai, Qin Chang 

Publication date: 4 October 2006

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zbMATH Keywords

stochastic differential equationGirsanov theoremmartingale method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (3)

• Pricing of generalized compound options with random execution time
• Valuation of compound option when the underlying asset is non-tradable
• A simple analytical and numerical approach for pricing compound options

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