A simple analytical and numerical approach for pricing compound options
Numer. Math. J. Chinese Univ. (English Ser.)(English Ser.) 15 (2006), pp. 367-374
Published online: 2006-11
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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 and X. Q. Jin . (2006). 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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