A sensivity analysis for the n-fold compound option

Liesbeth Thomassen and Martine van Wouwe ()

Working Papers from University of Antwerp, Faculty of Business and Economics

Abstract: In this paper we determine the dependence of the n-fold compound option to the value of the firm V and to the variance rate 2. For practical purposes some numerical results are added, calculated with Mathematica and with a Fortran procedure for multivariate integrals.

Keywords: Financial; N-fold compound optins; Multivariate; Greeks (search for similar items in EconPapers)
Pages: 26 pages
Date: 2002-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://repository.uantwerpen.be/docman/irua/3e3a9a/3e0df21c.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ant:wpaper:2002014

Access Statistics for this paper

More papers in Working Papers from University of Antwerp, Faculty of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Joeri Nys ().