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dc.contributor.authorLindset, Snorre
dc.date.accessioned2006-07-13T12:46:40Z
dc.date.available2006-07-13T12:46:40Z
dc.date.issued2002-12
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163651
dc.description.abstractThis paper explores similarities and differences between a compound option and a two-period guarantee. A generalised compound contingent claim that captures these two claims as special cases is constructed. The underlying asset of the compound contingent claim is a generalised simple contingent claim. Similar parities as the put-call parity are derived for both these claims. Also several other claims captured by the two general claims are revealed. We also show that the derivation of a closed form solution for the market value of a compound option under stochastic interest rates is likely to be non-trivial, if possible at all.en
dc.format.extent346155 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2002:32en
dc.subjectcompound optionen
dc.subjectmulti-period guaranteeen
dc.titleCompound contingent claimsen
dc.typeWorking paperen


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