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Note on the compound of pyrrol with picric acid

✍ Scribed by Samuel C. Hooker


Publisher
Elsevier Science
Year
1891
Tongue
English
Weight
148 KB
Volume
131
Category
Article
ISSN
0016-0032

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A note on the valuation of compound opti
✍ Fatma Lajeri-Chaherli πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 107 KB πŸ‘ 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