Title
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A sensitivity analysis for the N-fold compound option
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Author
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Abstract
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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. |
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Language
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English
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Source (series)
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Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:014
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Publication
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Antwerpen
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UFSIA
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2002
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Volume/pages
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25 p.
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Full text (open access)
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