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~institution:"Finance Discipline Group, Business School"
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American compound option
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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The Evaluation of American
Compound
Option
Prices Under Stochastic Volatility Using the Sparse Grid Approach
Chiarella, Carl
;
Kang, Boda
-
Finance Discipline Group, Business School
-
2009
A
compound
option
(the mother option) gives the holder the right, but not obligation to buy (long) or sell (short) the …
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