@article {Carrjod.2022.1.172, author = {Peter Carr and Federico Maglione}, title = {Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution}, elocation-id = {jod.2022.1.172}, year = {2022}, doi = {10.3905/jod.2022.1.172}, publisher = {Institutional Investor Journals Umbrella}, abstract = {We explore the pricing of compound derivatives under the newly introduced conjugate-power Dagum distribution. Assuming a discrete-time multiplicative conjugate-power Dagum random walk, we first provide an alternative derivation of the price of a married put based on a change of measure, which is helpful for the pricing of compound options. Then, we apply these results to obtain the equivalent of the Roll-Geske-Whaley formula for the pricing of American options in presence of one known discrete dividend under this alternative distribution.}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/early/2022/10/20/jod.2022.1.172}, eprint = {https://jod.pm-research.com/content/early/2022/10/20/jod.2022.1.172.full.pdf}, journal = {The Journal of Derivatives} }