THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …
We reintroduced the idea of an n-fold compound option as a generalization of Geske’s (2- fold) compound option in the same framework of constant interest rates. For the valuation of long-term financial agreements (life insurance products) this assumption is not always realistic. So that the...