Pricing an Option written on an Option

Compound options are options for which the underlying is another option. In other words, a compound option is an option written on an option. In this paper, we present two new approaches to compound option pricing. The first approach relies on Malliavin calculus methods and the Clark-Ocone formula, while the second is based on Fourier transform techniques. We finally apply our theoretical results to several practical examples

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Year of publication:	[2022]
Authors:	Hess, Markus
Publisher:	[S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Experiment \| Optionsgeschäft \| Option trading \| Derivat \| Derivative \| Aktienoption \| Stock option

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 6, 2022 erstellt
Classification:	C02 - Mathematical Methods ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013293543