We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution.
- Authors
Carr, Peter; Maglione, Federico
- Abstract
We explore the pricing of compound derivatives under the newly introduced conjugate-power Dagum distribution. Assuming a discrete-time multiplicative conjugate-power Dagum random walk, we first provide an alternative derivation of the price of a married put based on a change of measure, which is helpful for the pricing of compound options. Then, we apply these results to obtain the equivalent of the Roll-Geske-Whaley formula for the pricing of American options in presence of one known discrete dividend under this alternative distribution.
- Publication
Journal of Derivatives, 2022, Vol 30, Issue 2, p94
- ISSN
1074-1240
- Publication type
Academic Journal
- DOI
10.3905/jod.2022.1.172