𝔖 Bobbio Scriptorium
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An expository note on the valuation of foreign exchange options

✍ Scribed by Hans-Jürg Büttler


Book ID
116116482
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
662 KB
Volume
8
Category
Article
ISSN
0261-5606

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


A note on the valuation of compound opti
✍ Fatma Lajeri-Chaherli 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 107 KB 👁 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

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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