A sensivity analysis for the n-fold compound option
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.
|Date of creation:||Mar 2002|
|Date of revision:|
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Web page: https://www.uantwerp.be/en/faculties/applied-economic-sciences/
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