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A sensivity analysis for the n-fold compound option

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  • THOMASSEN, Liesbeth
  • VAN WOUWE, Martine

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.

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File URL: https://www.uantwerpen.be/images/uantwerpen/container1244/files/TEW%20-%20Onderzoek/Working%20Papers/RPS/2002/RPS-2002-014.pdf
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Bibliographic Info

Paper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number 2002014.

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Length: 26 pages
Date of creation: Mar 2002
Date of revision:
Handle: RePEc:ant:wpaper:2002014

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Postal: Prinsstraat 13, B-2000 Antwerpen
Web page: https://www.uantwerp.be/en/faculties/applied-economic-sciences/
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Related research

Keywords: Financial; N-fold compound optins; Multivariate; Greeks;

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