A sensivity analysis for the n-fold compound option

In this paper we determine the dependence of the n-fold compound option to the value of the firm V and to the variance rate 2. For practical purposes some numerical results are added, calculated with Mathematica and with a Fortran procedure for multivariate integrals.

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Year of publication:	2002-03
Authors:	THOMASSEN, Liesbeth ; VAN WOUWE, Martine
Institutions:	Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen
Subject:	Financial \| N-fold compound optins \| Multivariate \| Greeks

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	26 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005824300