Title
Decomposition of the n-fold compound option Decomposition of the n-fold compound option
Author
Faculty/Department
Faculty of Applied Economics
Faculty of Sciences. Mathematics and Computer Science
Publication type
report
Publication
Antwerp :UA, [*]
Source (series)
Research paper / Faculty of Applied Economics UFSIA-RUCA ; 2002:40
Volume/pages
11 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
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.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/dcc0d7/b4e396ee.pdf
Handle