The Valuation of Sequential Exchange Opportunities

PETER CARR

doi:10.1111/j.1540-6261.1988.tb03967.x

The Valuation of Sequential Exchange Opportunities

PETER CARR

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	1235-1256
Number of pages	22
Journal	The Journal of Finance
Volume	43
Issue number	5
DOIs	https://doi.org/10.1111/j.1540-6261.1988.tb03967.x
State	Published - Dec 1988

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1111/j.1540-6261.1988.tb03967.x

Cite this

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The Valuation of Sequential Exchange Opportunities

Abstract

ASJC Scopus subject areas

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