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
E. Agliardi, Agliardi R. (2005). A CLOSED-FORM SOLUTION FOR MULTICOMPOUND OPTIONS. RISK LETTERS, 1, 2-7.
A CLOSED-FORM SOLUTION FOR MULTICOMPOUND OPTIONS
AGLIARDI, ELETTRA;AGLIARDI, ROSSELLA
2005
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 oneFile in questo prodotto:
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