Abstract
In this paper, a generalization of Geske formula for compound put options and Reset put options is obtained by applying martingale methods and the change of numeraire when the volatility of underlying asset and interest rate are all time-dependent. This approach is more explicit and simple than partial differential equation (PDE) approach. An analytic formula for protection options is also derived in the case the same situation by using same approach.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have