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 & X. Q. Jin . (1970). 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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