A pricing formula for multicompound options is derived in the case of time dependent interest rate and volatility. Using multinormal cumulative distribution functions, we obtain a formula that is a straightforward generalization of the well-known Geske's one
Titolo: | A CLOSED-FORM SOLUTION FOR MULTICOMPOUND OPTIONS |
Autore/i: | AGLIARDI, ELETTRA; AGLIARDI, ROSSELLA |
Autore/i Unibo: | |
Anno: | 2005 |
Rivista: | |
Abstract: | A pricing formula for multicompound options is derived in the case of time dependent interest rate and volatility. Using multinormal cumulative distribution functions, we obtain a formula that is a straightforward generalization of the well-known Geske's one |
Data prodotto definitivo in UGOV: | 2006-02-09 17:17:55 |
Appare nelle tipologie: | 1.01 Articolo in rivista |
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