TY - JOUR
T1 - Valuation of compound option when the underlying asset is non-tradable
AU - Liu, Yu Hong
PY - 2010/5/1
Y1 - 2010/5/1
N2 - 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.
AB - 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.
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U2 - 10.1142/S021902491000584X
DO - 10.1142/S021902491000584X
M3 - Article
AN - SCOPUS:77954198838
VL - 13
SP - 441
EP - 458
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
SN - 0219-0249
IS - 3
ER -