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 volumeConference contributionScientific

Original languageUndefined/Unknown
Title of host publication4th Actuarial and Financial Mathematics Day
EditorsM Vanmaele, A De Schepper, J Dhaene, H Reynaerts, W Schoutens, P Van Goethem
Place of PublicationWetteren, Belgie
PublisherUniversa Press
Pages45-54
Number of pages10
Publication statusPublished - 2006
Event4th Actuarial and Financial Mathematics Day - Wetteren, Belgie
Duration: 10 Feb 200610 Feb 2006

Publication series

Name
PublisherUniversa Press

Conference

Conference4th Actuarial and Financial Mathematics Day
Period10/02/0610/02/06

Keywords

  • Conf.proc. > 3 pag

Cite this

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 (pp. 45-54). Universa Press.