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A note on the valuation of compound options

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dc.contributor.coauthorN/A
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorLajeri-Chaherli, Fatma
dc.contributor.kuprofileFaculty Member
dc.contributor.otherDepartment of Economics
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.contributor.yokidN/A
dc.date.accessioned2024-11-09T23:23:08Z
dc.date.issued2002
dc.description.abstractThe value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims, The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option.
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.issue11
dc.description.openaccessNO
dc.description.publisherscopeInternational
dc.description.volume22
dc.identifier.doi10.1002/fut.10048
dc.identifier.issn0270-7314
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-0036376080
dc.identifier.urihttp://dx.doi.org/10.1002/fut.10048
dc.identifier.urihttps://hdl.handle.net/20.500.14288/11170
dc.identifier.wos178015300005
dc.keywordsN/A
dc.languageEnglish
dc.publisherJohn Wiley & Sons Inc
dc.sourceJournal Of Futures Markets
dc.subjectBusiness
dc.subjectFinance
dc.titleA note on the valuation of compound options
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.authoridN/A
local.contributor.kuauthorLajeri-Chaherli, Fatma
relation.isOrgUnitOfPublication7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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