Valuation of compound option when the underlying asset is non-tradable

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)441-458
頁數18
期刊International Journal of Theoretical and Applied Finance
13
發行號3
DOIs
出版狀態Published - 2010 五月 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

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