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

S.A. Borovkova, F.J. Permana, H. v.d. Weide

Research output: Contribution to Journal › Article › Academic

Access to Document

@article{85cd55fe82c940e193cc049f710676f4,

title = "A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options",

author = "S.A. Borovkova and F.J. Permana and {v.d. Weide}, H.",

year = "2007",

doi = "10.3905/jod.2007.686420",

language = "English",

volume = "14",

pages = "8--24",

journal = "Journal of Derivatives",

number = "4",

}