Title
A sensitivity analysis for the N-fold compound option A sensitivity analysis for the N-fold compound option
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Antwerpen :UFSIA, [*]
Source (series)
Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:014
Volume/pages
25 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
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.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/3e3a9a/3e0df21c.pdf
Handle