A generalization of the Geske formula for compound options
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Bibliographic InfoArticle provided by Elsevier in its journal Mathematical Social Sciences.
Volume (Year): 45 (2003)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/505565
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-56, December.
- Geske, Robert & Johnson, H. E., 1984. "The Valuation of Corporate Liabilities as Compound Options: A Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(02), pages 231-232, June.
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- L. Sereno, 2006. "Valuing R & D Investments With A Jump-Diffusion Process," Working Papers 569, Dipartimento Scienze Economiche, Universita' di Bologna.
- Ye Li & Peter Jan Engelen & Clemens Kool, 2012. "A Barrier Options Approach to Modeling Project Failure: The Case of Hydrogen Fuel Infrastructure," Working Papers 13-01, Utrecht School of Economics.
- Agliardi, Rossella, 2006. "Options to expand: Some remarks," Finance Research Letters, Elsevier, vol. 3(1), pages 65-72, March.
- L. Sereno, 2006. "The Valuation of New Ventures," Working Papers 554, Dipartimento Scienze Economiche, Universita' di Bologna.
- Lee, Meng-Yu & Yeh, Fang-Bo & Chen, An-Pin, 2008. "The generalized sequential compound options pricing and sensitivity analysis," Mathematical Social Sciences, Elsevier, vol. 55(1), pages 38-54, January.
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