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A generalization of the Geske formula for compound options

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  • Elettra, Agliardi
  • Rossella, Agliardi

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  • Elettra, Agliardi & Rossella, Agliardi, 2003. "A generalization of the Geske formula for compound options," Mathematical Social Sciences, Elsevier, vol. 45(1), pages 75-82, February.
    • Handle: RePEc:eee:matsoc:v:45:y:2003:i:1:p:75-82
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    References listed on IDEAS

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    1. 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(2), pages 231-232, June.
    2. repec:bla:jfinan:v:43:y:1988:i:5:p:1235-56 is not listed on IDEAS
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
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    Cited by:

    1. Agliardi, Rossella, 2006. "Options to expand: Some remarks," Finance Research Letters, Elsevier, vol. 3(1), pages 65-72, March.
    2. L. Sereno, 2006. "The Valuation of New Ventures," Working Papers 554, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. 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.
    4. Rossella Agliardi, 2011. "A comprehensive structural model for defaultable fixed-income bonds," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 749-762.
    5. Wang, Xiandong & He, Jianmin, 2017. "A simple method for generalized sequential compound options pricing," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 85-91.
    6. Engelen, Peter-Jan & Kool, Clemens & Li, Ye, 2016. "A barrier options approach to modeling project failure: The case of hydrogen fuel infrastructure," Resource and Energy Economics, Elsevier, vol. 43(C), pages 33-56.
    7. L. Sereno, 2006. "Valuing R & D Investments With A Jump-Diffusion Process," Working Papers 569, Dipartimento Scienze Economiche, Universita' di Bologna.

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