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

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

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@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 = "The Journal of Derivatives",

issn = "2168-8524",

publisher = "International Association of Financial Engineers",

number = "4",

}

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

UR - https://www.scopus.com/pages/publications/75149169893

UR - https://www.scopus.com/inward/citedby.url?scp=75149169893&partnerID=8YFLogxK

U2 - 10.3905/jod.2007.686420

DO - 10.3905/jod.2007.686420

M3 - Article

SN - 2168-8524

VL - 14

SP - 8

EP - 24

JO - The Journal of Derivatives

JF - The Journal of Derivatives

IS - 4

ER -