A sensitivity analysis for the N-fold compound optionA sensitivity analysis for the N-fold compound option
Faculty of Applied Economics
Accountancy and Finance
Mathematics, Statistics and Actuarial Sciences
Antwerpen :UFSIA, 2002[*]2002
Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:014
University of Antwerp
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.