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A generalization of the Geske formula for compound options · Study

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ArticleA generalization of the Geske formula for compound options

Elettra Agliardi2003

Article2003

A generalization of the Geske formula for compound options

Elettra Agliardi · Rossella Agliardi

31 citations·0/0 files stored·Mathematical Social Sciences

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation 1996Real options: Managerial flexibility and strategy in resource allocation 1979The valuation of compound options 1982Principles of corporate finance 1995Changes of numéraire, changes of probability measure and option pricing 1988The Valuation of Sequential Exchange Opportunities

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2010A comprehensive structural model for defaultable fixed-income bonds 2007The generalized sequential compound options pricing and sensitivity analysis 2011Integrating Real Options with Managerial Cash Flow Estimates

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Year2003

Typearticle

Published2003-02-01

VenueMathematical Social Sciences

ISSN-L0165-4896

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-4896(02)00081-1

openalex_workW2021451957

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