A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

SA Borovkova, FJ Permana, JAM van der Weide

Research output: Contribution to journalArticleScientific

34 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)8-24
Number of pages17
JournalThe Journal of Derivatives
Volume14
Issue number4
Publication statusPublished - 2007

Keywords

  • Peer-lijst tijdschrift

Cite this

Borovkova, SA., Permana, FJ., & van der Weide, JAM. (2007). A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options. The Journal of Derivatives, 14(4), 8-24.