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

Svetlana Borovkova; Ferry J. Permana; Hans V.D. Weide

doi:10.3905/jod.2007.686420

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

Svetlana Borovkova, Ferry J. Permana and Hans V.D. Weide

The Journal of Derivatives Summer 2007, 14 (4) 8-24; DOI: https://doi.org/10.3905/jod.2007.686420

Svetlana Borovkova

A professor at the Department of Finance, Free University of Amsterdam in The Netherlands.

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For correspondence: sborovkova@feweb.vu.nl

Ferry J. Permana

A research assistant at the Delft Institute of Applied Mathematics, Delft University of Technology in The Netherlands.

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For correspondence: f.j.permana@ewi.tudelft.nl

Hans V.D. Weide

A professor at the Delft Institute of Applied Mathematics, Delft University of Technology in The Netherlands.

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For correspondence: j.a.m.vanderweide@ewi.tudelft.nl

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The Journal of Derivatives

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

Svetlana Borovkova, Ferry J. Permana, Hans V.D. Weide

The Journal of Derivatives May 2007, 14 (4) 8-24; DOI: 10.3905/jod.2007.686420

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

Svetlana Borovkova, Ferry J. Permana, Hans V.D. Weide

The Journal of Derivatives May 2007, 14 (4) 8-24; DOI: 10.3905/jod.2007.686420

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