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

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Javed Hussain, Valuation of European Style Compound Option Written on European Style Currency and Power Options, Int. J. Anal. Appl., 18 (6) (2020), 1015-1028.

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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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