A pricing formula for N-fold compound options is derived, solving N nested Black-Scholes differential equations and using multivariate normal integrals. The explicit formula which is proved generalizes Geske’s well-known expression. It applies to a wide range of Finance problems, such as the pricing of risky coupon bonds, the valuation of real investments with multiple real options and the analysis of managerial flexibility
Agliardi R. (2007). Some applications of a closed-form solution for compound options of order N. BASEL : Birkhauser.
Some applications of a closed-form solution for compound options of order N
AGLIARDI, ROSSELLA
2007
Abstract
A pricing formula for N-fold compound options is derived, solving N nested Black-Scholes differential equations and using multivariate normal integrals. The explicit formula which is proved generalizes Geske’s well-known expression. It applies to a wide range of Finance problems, such as the pricing of risky coupon bonds, the valuation of real investments with multiple real options and the analysis of managerial flexibilityFile in questo prodotto:
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