PT  - JOURNAL ARTICLE
AU  - Ren-Raw Chen
AU  - Wei He
TI  - The Valuation of Compound Options: <em>A Correction and an Extension</em>
AID  - 10.3905/jod.2015.22.4.092
DP  - 2015 May 31
TA  - The Journal of Derivatives
PG  - 92--104
VI  - 22
IP  - 4
4099  - https://pm-research.com/content/22/4/92.short
4100  - https://pm-research.com/content/22/4/92.full
AB  - A few years after Black and Scholes developed their model in 1973, Geske published a valuation model for an option on an option, known as a compound option. Quite unfortunately, the published version of the article contained typos in some equations. In this article, Chen and He derive the correct versions and show them alongside the originally published equations. They also extend the model to provide derivations of the Greek letter risks, including four that were not in the original article.TOPICS: Options, risk management