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A note on a simplified approach to the valuation of risky streams

โœ Scribed by Suresh P. Sethi

Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
357 KB
Volume
3
Category
Article
ISSN
0167-6377

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๐Ÿ“œ SIMILAR VOLUMES

A note on the valuation of compound opti
A note on the valuation of compound options
โœ Fatma Lajeri-Chaherli ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 107 KB ๐Ÿ‘ 2 views

## Abstract The value of a compound option, __an option on an option__, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerfu

A note on the valuation of an exotic tim
A note on the valuation of an exotic timing option
โœ Bellalah, Mondher; Prigent, Jean-Luc ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 128 KB ๐Ÿ‘ 2 views

This note compares the valuation of a "lookback" put option with that of an option which, at payoff, gives its holder the difference between the maximum value recorded during the option's life and an initial value based on underlying asset price at the time of initiation. This latter instrument is c