Empirical analysis of analytic approximation approaches for pricing and hedging spread options

SA Borovkova; FJ Permana; JAM van der Weide

Empirical analysis of analytic approximation approaches for pricing and hedging spread options

SA Borovkova, FJ Permana, JAM van der Weide

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific

Original language	Undefined/Unknown
Title of host publication	4th Actuarial and Financial Mathematics Day
Editors	M Vanmaele, A De Schepper, J Dhaene, H Reynaerts, W Schoutens, P Van Goethem
Place of Publication	Wetteren, Belgie
Publisher	Universa Press
Pages	45-54
Number of pages	10
Publication status	Published - 2006
Event	4th Actuarial and Financial Mathematics Day - Wetteren, Belgie Duration: 10 Feb 2006 → 10 Feb 2006

Publication series

Name
Publisher	Universa Press

Conference

Conference	4th Actuarial and Financial Mathematics Day
Period	10/02/06 → 10/02/06

Keywords

Conf.proc. > 3 pag

Cite this

@inproceedings{8b081bb426fe4d369499b2acf12d18f9,

title = "Empirical analysis of analytic approximation approaches for pricing and hedging spread options",

keywords = "Conf.proc. > 3 pag",

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

year = "2006",

language = "Undefined/Unknown",

publisher = "Universa Press",

pages = "45--54",

editor = "M Vanmaele and {De Schepper}, A and J Dhaene and H Reynaerts and W Schoutens and {Van Goethem}, P",

booktitle = "4th Actuarial and Financial Mathematics Day",

note = "4th Actuarial and Financial Mathematics Day ; Conference date: 10-02-2006 Through 10-02-2006",

}

Borovkova, SA, Permana, FJ & van der Weide, JAM 2006, Empirical analysis of analytic approximation approaches for pricing and hedging spread options. in M Vanmaele, A De Schepper, J Dhaene, H Reynaerts, W Schoutens & P Van Goethem (eds), 4th Actuarial and Financial Mathematics Day. Universa Press, Wetteren, Belgie, pp. 45-54, 4th Actuarial and Financial Mathematics Day, 10/02/06.

Empirical analysis of analytic approximation approaches for pricing and hedging spread options. / Borovkova, SA; Permana, FJ; van der Weide, JAM.
4th Actuarial and Financial Mathematics Day. ed. / M Vanmaele; A De Schepper; J Dhaene; H Reynaerts; W Schoutens; P Van Goethem. Wetteren, Belgie: Universa Press, 2006. p. 45-54.

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific

TY - GEN

T1 - Empirical analysis of analytic approximation approaches for pricing and hedging spread options

AU - Borovkova, SA

AU - Permana, FJ

AU - van der Weide, JAM

PY - 2006

Y1 - 2006

KW - Conf.proc. > 3 pag

M3 - Conference contribution

SP - 45

EP - 54

BT - 4th Actuarial and Financial Mathematics Day

A2 - Vanmaele, M

A2 - De Schepper, A

A2 - Dhaene, J

A2 - Reynaerts, H

A2 - Schoutens, W

A2 - Van Goethem, P

PB - Universa Press

CY - Wetteren, Belgie

T2 - 4th Actuarial and Financial Mathematics Day

Y2 - 10 February 2006 through 10 February 2006

ER -