The Valuation of Sequential Exchange Opportunities

PETER CARR

Research output: Contribution to journalArticlepeer-review

Abstract

Sequential exchange opportunities are valued using the techniques of modern option‐pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented. 1988 The American Finance Association

Original languageEnglish (US)
Pages (from-to)1235-1256
Number of pages22
JournalThe Journal of Finance
Volume43
Issue number5
DOIs
StatePublished - Dec 1988

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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