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basket options
closed formula
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Computing in Economics and Finance 2006
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A closed form approach to valuing and hedging basket options
Borovkova, Svetlana
;
Permana, Ferry
-
Society for Computational Economics - SCE
-
2006
negative skewness of the basket distribution, and it provides
closed
formulae
for the option price and greeks. Numerical …
Persistent link: https://www.econbiz.de/10005706220
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