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
A CLOSED-FORM SOLUTION FOR MULTICOMPOUND OPTIONS / E. Agliardi; Agliardi R.. - In: RISK LETTERS. - ISSN 1740-9551. - STAMPA. - 1:(2005), pp. 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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