Decomposition of the n-fold compound optionDecomposition of the n-fold compound option
Faculty of Applied Economics

Faculty of Sciences. Mathematics and Computer Science

Accountancy and Finance

Analytical and topological structures

Mathematics, Statistics and Actuarial Sciences

Analysis

report

Antwerp :UA, 2002[*]2002

Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:40

11 p.

1

E

English (eng)

University of Antwerp

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.

https://repository.uantwerpen.be/docman/irua/dcc0d7/b4e396ee.pdf