A closed form approach to valuing and hedging basket options
Year of publication: |
2006-07-04
|
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Authors: | Borovkova, Svetlana ; Permana, Ferry |
Institutions: | Society for Computational Economics - SCE |
Subject: | basket options | log-normal approximation | closed formula | hedging | greeks | correlation | vega risk |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2006 Number 54 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C52 - Model Evaluation and Testing |
Source: |
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