Sequential exchange opportunities are valued using the techniques o f modern option pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented. Copyright 1988 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 43 (1988) Issue (Month): 5 (December) Pages: 1235-56 Download reference. The following formats are available: HTML,
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