Valuation of European Style Compound Option Written on European Style Currency and Power Options
The aim of the paper is paper is twofold. Firstly, we will derive an explicit closed formula for pricing the compound call option contingent upon a currency call option. Secondly, we will develop a pricing formula for the compound call option contingent upon the power call option.
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| Format: | Article |
| Language: | English |
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Etamaths Publishing
2020-09-01
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| Series: | International Journal of Analysis and Applications |
| Online Access: | http://etamaths.com/index.php/ijaa/article/view/2235 |