Title
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Decomposition of the n-fold compound option
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Author
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Abstract
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In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geskes compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate normal CDFs for higher dimensions (n 3). For that reason a proof to regard an n-fold as an (n-k)-fold on a k-fold is given and allows for example to decompose a 6-fold compound option into a 2-fold and a 4-fold. |
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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 ; 2002:40
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Publication
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Antwerp
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UA
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2002
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Volume/pages
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11 p.
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Full text (open access)
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