RT Journal Article SR Electronic T1 Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution JF The Journal of Derivatives FD Institutional Investor Journals SP jod.2022.1.172 DO 10.3905/jod.2022.1.172 A1 Peter Carr A1 Federico Maglione YR 2022 UL https://pm-research.com/content/early/2022/10/20/jod.2022.1.172.abstract AB 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.