PT - JOURNAL ARTICLE AU - Peter Carr AU - Federico Maglione TI - Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution AID - 10.3905/jod.2022.1.172 DP - 2022 Nov 30 TA - The Journal of Derivatives PG - 94--125 VI - 30 IP - 2 4099 - https://pm-research.com/content/30/2/94.short 4100 - https://pm-research.com/content/30/2/94.full 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.