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Computing a Multivariate Normal Integral for Valuing Compound Real Options

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  • Lin, William T

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  • Lin, William T, 2002. "Computing a Multivariate Normal Integral for Valuing Compound Real Options," Review of Quantitative Finance and Accounting, Springer, vol. 18(2), pages 185-209, March.
    • Handle: RePEc:kap:rqfnac:v:18:y:2002:i:2:p:185-209
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    Cited by:

    1. Wang, Xiandong & He, Jianmin, 2017. "A simple method for generalized sequential compound options pricing," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 85-91.
    2. Gong, Pu & He, Zhiwei & Zhu, Song-Ping, 2006. "Pricing convertible bonds based on a multi-stage compound-option model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 449-462.
    3. Liu, Yu-hong & Jiang, I-Ming & Hsu, Wei-tze, 2018. "Compound option pricing under a double exponential Jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 30-53.
    4. Polat, Levent & Battal, Unal (Ãœnal), 2021. "Airport infrastructure investments and valuing expansion decisions using the compound real option approach," Journal of Air Transport Management, Elsevier, vol. 91(C).

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