A note on the valuation of compound options

Journal of Futures Markets

Volumn 22, Issue 11, 2002, Pages 1103-1115

  Lajeri Chaherli, Fatma ^a  

^a KOÇ UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036376080     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10048     Document Type: Article

References (8)

1. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654.
2. Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229-263.
3. Cox, J. C., & Rubinstein, M. (1985). Option markets. Englewood Cliffs, NJ: Prentice Hall.
4. Hull, J. (1991). Introduction to futures and option markets. Englewood Cliffs, NJ: Prentice Hall.
5. Geske, R. (1979). The valuation of compound options. Journal of Financial Economics, 7, 63-81.
6. 2): Risk adjusted probabilities in the Black-Scholes model. Finance, 14, 95-106.
7. Rubinstein, M. (1991). Exotic options (Finance Working Paper No. 220). Institute of Business and Economic Research, University of California at Berkeley.
8. Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics, 7, 407-425.