American basket and spread option pricing by a simple binomial tree

SA Borovkova, FJ Permana, JAM van der Weide

Research output: Contribution to journal › Article › Scientific › peer-review

9 Citations (Scopus)

Keywords

@article{6ae8fffd22c94473aac7147d3f083168,

title = "American basket and spread option pricing by a simple binomial tree",

keywords = "CWTS JFIS < 0.75",

author = "SA Borovkova and FJ Permana and {van der Weide}, JAM",

year = "2012",

doi = "10.3905/jod.2012.19.4.029",

language = "English",

volume = "19",

pages = "29--38",

journal = "The Journal of Derivatives",

issn = "1074-1240",

publisher = "Institutional Investor, Inc",

number = "4",

}

TY - JOUR

T1 - American basket and spread option pricing by a simple binomial tree

AU - Borovkova, SA

AU - Permana, FJ

AU - van der Weide, JAM

PY - 2012

Y1 - 2012

KW - CWTS JFIS < 0.75

U2 - 10.3905/jod.2012.19.4.029

DO - 10.3905/jod.2012.19.4.029

M3 - Article

SN - 1074-1240

VL - 19

SP - 29

EP - 38

JO - The Journal of Derivatives

JF - The Journal of Derivatives

IS - 4

ER -