%0 Journal Article
%A Peter Carr
%A Federico Maglione
%T Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution
%D 2022
%R 10.3905/jod.2022.1.172
%J The Journal of Derivatives
%P jod.2022.1.172
%X 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.
%U https://jod.pm-research.com/content/iijderiv/early/2022/10/20/jod.2022.1.172.full.pdf