This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option on an option which he defined as a compound option. He developed a closed form expression for this kind of options. In this paper we will extend the notion of compound option to...

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.

The solvency II regulation for the non-life insurance business focuses on the application of the chain-ladder method in the EU. A recent memorandum of the EU also expresses its concern about the treatment of outlying data. Not only the appearance but certainly the consequences for the solvency...

"Our research wants to establish links and patterns over time between the constituent components of the cap rates, and between real interest and risk premium in particular. We developed a statistical model to predict and explain the risk premium asked for by investors buying properties...

The valuation of multi-staged pharmaceutical R&D can be interpreted as a chain of real options. In valuing these compound option models, a crucial problem is how to deal with the different types of risk. Previous models, such as Cassimon et al. (2004), offer a closed-form solution for the...