TY - JOUR
T1 - A simple analytical and numerical approach for pricing compound options
AU - D. Ding, C. K. Leong & X. Q. Jin 
JO - Numerical Mathematics, a Journal of Chinese Universities
VL - 4
SP - 367
EP - 374
PY - 2006
DA - 2006/11
SN - 15
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/nm/8043.html
KW - 
AB - 
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.