TY - JOUR T1 - The Valuation of Compound Options: <em>A Correction and an Extension</em> JF - The Journal of Derivatives SP - 92 LP - 104 DO - 10.3905/jod.2015.22.4.092 VL - 22 IS - 4 AU - Ren-Raw Chen AU - Wei He Y1 - 2015/05/31 UR - https://pm-research.com/content/22/4/92.abstract N2 - 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 ER -