A sensivity analysis for the n-fold compound option
AbstractIn 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.
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Bibliographic InfoPaper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number 2002014.
Length: 26 pages
Date of creation: Mar 2002
Date of revision:
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Postal: Prinsstraat 13, B-2000 Antwerpen
Web page: https://www.uantwerp.be/en/faculties/applied-economic-sciences/
More information through EDIRC
Financial; N-fold compound optins; Multivariate; Greeks;
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