Decomposition of the n-fold compound option
Faculty of Applied Economics
Faculty of Sciences. Mathematics and Computer Science
Antwerp :UA, 2002
Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:40
University of Antwerp
In a previous paper by Thomassen and Van Wouwe  the notion of an n-fold compound option was introduced as a generalization of Geskes compound option . 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.