论文信息 - A sensitivity analysis for the N-fold compound option

A sensitivity analysis for the N-fold compound option

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.

Liesbeth Thomassen | Martine van Wouwe | M. V. Wouwe | L. Thomassen

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