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- W3193996881 abstract "We discuss a general risk-neutral pricing of compound option under jump- diffusion model with log-normally distributed jumps. Call on call option is dis- cussed in detail and other types of compound option can be handled similarly. We obtain an explicit pricing formula which is a series of Black-Scholes type for- mulas. The resulting pricing formula is further examined under a specific risk- neutral measure." @default.
- W3193996881 created "2021-08-30" @default.
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- W3193996881 date "2012-01-01" @default.
- W3193996881 modified "2023-09-24" @default.
- W3193996881 title "Valuation of Compound Options under Jump-diffusion Model" @default.
- W3193996881 hasPublicationYear "2012" @default.
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