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.
| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
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 |
| _version_ | 1818909724985262080 |
|---|---|
| author | Javed Hussain |
| author_facet | Javed Hussain |
| author_sort | Javed Hussain |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-19T22:31:28Z |
| format | Article |
| id | doaj.art-ba6270622ad447df9ff3b70313011de9 |
| institution | Directory Open Access Journal |
| issn | 2291-8639 |
| language | English |
| last_indexed | 2024-12-19T22:31:28Z |
| publishDate | 2020-09-01 |
| publisher | Etamaths Publishing |
| record_format | Article |
| series | International Journal of Analysis and Applications |
| spelling | doaj.art-ba6270622ad447df9ff3b70313011de92022-12-21T20:03:20ZengEtamaths PublishingInternational Journal of Analysis and Applications2291-86392020-09-0118610151028495Valuation of European Style Compound Option Written on European Style Currency and Power OptionsJaved Hussain0Sukkur IBA University Pakistan; University of York UKThe 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.http://etamaths.com/index.php/ijaa/article/view/2235 |
| spellingShingle | Javed Hussain Valuation of European Style Compound Option Written on European Style Currency and Power Options International Journal of Analysis and Applications |
| title | Valuation of European Style Compound Option Written on European Style Currency and Power Options |
| title_full | Valuation of European Style Compound Option Written on European Style Currency and Power Options |
| title_fullStr | Valuation of European Style Compound Option Written on European Style Currency and Power Options |
| title_full_unstemmed | Valuation of European Style Compound Option Written on European Style Currency and Power Options |
| title_short | Valuation of European Style Compound Option Written on European Style Currency and Power Options |
| title_sort | valuation of european style compound option written on european style currency and power options |
| url | http://etamaths.com/index.php/ijaa/article/view/2235 |
| work_keys_str_mv | AT javedhussain valuationofeuropeanstylecompoundoptionwrittenoneuropeanstylecurrencyandpoweroptions |