After Geske (1979), compound options-options on options - have been employed in many fields in which real options are applied. The formula for a compound option is convenient to use in real project investment, but it has one drawback- the assets that underlie the compound options are usually non-tradable. This article addresses this issue and proposes two new compound option pricing formulae to overcome this drawback.
|頁（從 - 到）||441-458|
|期刊||International Journal of Theoretical and Applied Finance|
|出版狀態||Published - 2010 五月 1|
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)