Frey, Rüdiger, Sommer, Daniel. 1998. "The generalization of the Geske-formula for compound options to stochastic interest rate is not trivial - a note". Journal of Applied Probability 35 501-509.

RIS

@ARTICLE{Frey1998,
title = {"The generalization of the Geske-formula for compound options to stochastic interest rate is not trivial - a note"},
author = {Rüdiger Frey and Daniel Sommer},
year = {1998},
url = {http://www.jstor.org/stable/3215704},
volume = {35},
language = {EN},
pages = {501-509},
journal = {Journal of Applied Probability},
abstract = {This note refers to the paper by Geman, El-Karoui and Rochet (1995), in which an extension of the Geske-formula for compound options to the case of stochastic interest rates is proposed. We show that such an extension is not possible in general. However, we point out modifications of Geske's original problem in which closed formulas can still be obtained under stochastic interest rates. In particular we consider the case of an option on a future-style option. Moreover, we sketch a numerical solution to Geske's original problem when interest rates are random.},
}