Publication
Title
A sensitivity analysis for the N-fold compound option
Author
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.
Language
English
Source (series)
Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:014
Publication
Antwerpen : UFSIA, 2002
Volume/pages
25 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 08.10.2008
Last edited 23.12.2015
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