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This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option on an option which he defined as a compound option. He developed a closed form expression for this kind of options. In this paper we will extend the notion of compound option to...
Persistent link: https://www.econbiz.de/10005824296
In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geske’s compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate...
Persistent link: https://www.econbiz.de/10005588127
Persistent link: https://www.econbiz.de/10010866817
Paper presented at "Strategies For Solving Global Crises Conference: The Financial Crisis and Beyond" (October 2009 …). Also published in "Corporate Finance: Governance, Corporate Control & Organization Journals" (July 2010) The Financial … the need to focus on unregulated instruments such as hedge funds, which are of systemic importance to the financial …
Persistent link: https://www.econbiz.de/10008529221
In this paper we determine the dependence of the n-fold compound option to the value of the firm V and to the variance rate 2. For practical purposes some numerical results are added, calculated with Mathematica and with a Fortran procedure for multivariate integrals.
Persistent link: https://www.econbiz.de/10005824300
harmonisation and facilitating greater cooperation between national financial regulators, were contributory factors. …
Persistent link: https://www.econbiz.de/10005835429
economic agents and institutions in the system. During the last two decades, the financial market are well developed and … significantly impacts the economic growth, it will be more worthy to move from a real SAM to a Financial SAM, containing the details … of the financial institutions and transaction of agents’ assets and liabilities. Therefore, this paper will discuss the …
Persistent link: https://www.econbiz.de/10005835777
reality: an „internal” representation – the managerial accounting – and an “external” one – the financial accounting. From …
Persistent link: https://www.econbiz.de/10008512015
argued that the common practice of giving stock options to employees can be a factor behind financial crashes. The aim of the …
Persistent link: https://www.econbiz.de/10008512480
This paper is about the financial lives of poor households. It examines the different sources of income and expenditure … of the poor households residing in a coastal settlement in Kerala. The method of financial diary for data collection is …
Persistent link: https://www.econbiz.de/10008512484