Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
β Scribed by K. V. Khizhnyak
- Book ID
- 111497091
- Publisher
- Allerton Press, Inc.
- Year
- 2011
- Tongue
- English
- Weight
- 243 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0278-6419
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
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