Volume 15, Issue 4
A simple analytical and numerical approach for pricing compound options

D. Ding, C. K. Leong & X. Q. Jin

Numer. Math. J. Chinese Univ. (English Ser.)(English Ser.) 15 (2006), pp. 367-374

Published online: 2006-11

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  • 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.
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@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} }
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.
D. Ding, C. K. Leong & X. Q. Jin . (1970). A simple analytical and numerical approach for pricing compound options. Numerical Mathematics, a Journal of Chinese Universities. 15 (4). 367-374. doi:
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