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The valuation of options on coupon bonds

✍ Scribed by Francis A. Longstaff

Book ID
116134847
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
1007 KB
Volume
17
Category
Article
ISSN
0378-4266

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## 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