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 JournalArticleAcademic

Original languageEnglish
Pages (from-to)8-24
JournalJournal of Derivatives
Volume14
Issue number4
DOIs
Publication statusPublished - 2007

Cite this

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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",

}

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options. / Borovkova, S.A.; Permana, F.J.; v.d. Weide, H.

In: Journal of Derivatives, Vol. 14, No. 4, 2007, p. 8-24.

Research output: Contribution to JournalArticleAcademic

TY - JOUR

T1 - A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

AU - Borovkova, S.A.

AU - Permana, F.J.

AU - v.d. Weide, H.

PY - 2007

Y1 - 2007

U2 - 10.3905/jod.2007.686420

DO - 10.3905/jod.2007.686420

M3 - Article

VL - 14

SP - 8

EP - 24

JO - Journal of Derivatives

JF - Journal of Derivatives

IS - 4

ER -