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

S.A. Borovkova; F.J. Permana; J.A.M. Weide

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

S.A. Borovkova
, F.J. Permana
, J.A.M. Weide

Finance

Research output: Chapter in Book / Report / Conference proceeding › Conference contribution › Academic

Original language	English
Title of host publication	Proceedings of 4th Actuarial and Financial Mathematics Day
Editors	M. Vanmaele, A. De Schepper, J. Dhaene, H. Reynaerts, W. Schoutens, P. Van Goethem
Place of Publication	Brussel
Publisher	KVAB
Pages	45-54
Publication status	Published - 2006
Event	4th Actuarial and Financial Mathematics Day - Brussel Duration: 10 Feb 2006 → 10 Feb 2006

Conference

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

Bibliographical note

D/2006/0455/20

Persistent URL (handle)

Persistent link

Cite this

@inproceedings{a17a020254464c5981b0f23524340219,

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

author = "S.A. Borovkova and F.J. Permana and J.A.M. Weide",

note = "D/2006/0455/20; 4th Actuarial and Financial Mathematics Day ; Conference date: 10-02-2006 Through 10-02-2006",

year = "2006",

language = "English",

pages = "45--54",

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

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

publisher = "KVAB",

}

Borovkova, SA, Permana, FJ & 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), Proceedings of 4th Actuarial and Financial Mathematics Day. KVAB, Brussel, 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, S.A.; Permana, F.J.; Weide, J.A.M.
Proceedings of 4th Actuarial and Financial Mathematics Day. ed. / M. Vanmaele; A. De Schepper; J. Dhaene; H. Reynaerts; W. Schoutens; P. Van Goethem. Brussel: KVAB, 2006. p. 45-54.

Research output: Chapter in Book / Report / Conference proceeding › Conference contribution › Academic

TY - GEN

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

AU - Borovkova, S.A.

AU - Permana, F.J.

AU - Weide, J.A.M.

N1 - D/2006/0455/20

PY - 2006

Y1 - 2006

M3 - Conference contribution

SP - 45

EP - 54

BT - Proceedings of 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 - KVAB

CY - Brussel

T2 - 4th Actuarial and Financial Mathematics Day

Y2 - 10 February 2006 through 10 February 2006

ER -