A generalization of the Geske formula for compound options
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References listed on IDEAS
- 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.
- Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-1256, December.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
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- 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.
- 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.
- Y. Li & P.J. Engelen & C.J.M. Kool, 2013. "A Barrier Options Approach to Modeling Project Failure: The Case of Hydrogen Fuel Infrastructure," Working Papers 13-01, Utrecht School of Economics.
- repec:eee:matsoc:v:87:y:2017:i:c:p:85-91 is not listed on IDEAS
- 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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