VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE
Year of publication: |
2010
|
---|---|
Authors: | LIU, YU-HONG |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 03, p. 441-458
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Compound option | non-tradable asset | incomplete market | utility indifference pricing |
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