2020•International Journal of Analysis and ApplicationsOpen access

Valuation of European Style Compound Option Written on European Style Currency and Power Options

Javed Hussain

Abstract

The aim of the paper is paper is twofold. Firstly, we will derive an explicit closed formula for pricing the compound call option contingent upon a currency call option. Secondly, we will develop a pricing formula for the compound call option contingent upon the power call option.

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Key concepts: Call option, Valuation (finance), Valuation of options, Currency, Asian option, Style (visual arts), Financial economics, Actuarial science