학술논문
The n-fold compound option
Document Type
redif-paper
Source
University of Antwerp, Faculty of Business and Economics, Working Papers.
Subject
Language
English
Abstract
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 the n-fold compound option or compound option of order n. Moreover an interesting relationship between a k=variante normal distribution function and a (k + 1)-variante normal distribution function is proved for this intention.