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Society for Computational Economics - SCE
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A closed form approach to valuing and hedging basket options
Borovkova, Svetlana
;
Permana, Ferry
-
Society for Computational Economics - SCE
-
2006
using a generalized family of
log-normal
distributions. This approximation copes with negative basket values as well as …
Persistent link: https://www.econbiz.de/10005706220
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