@Article{NM-15-367, author = {D. Ding, C. K. Leong and X. Q. Jin }, title = {A simple analytical and numerical approach for pricing compound options}, journal = {Numerical Mathematics, a Journal of Chinese Universities}, year = {2006}, volume = {15}, number = {4}, pages = {367--374}, abstract = { A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon. }, issn = {}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/nm/8043.html} }