A CLOSED FORM APPROACH TO THE VALUATION AND HEDGING OF BASKET AND SPREAD OPTIONS Svetlana Borovkova0 , Ferry J. Permana and Hans v.d. Weide Key words: basket options, spread options, log-normal approximation, closed form

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Date: 2007-03-27 13:47:20 Mathematical analysis Statistics Probability Probability distributions Mathematical finance Options Log-normal distribution Volatility Normal distribution BlackScholes model Option style Gamma distribution		A CLOSED FORM APPROACH TO THE VALUATION AND HEDGING OF BASKET AND SPREAD OPTIONS Svetlana Borovkova0 , Ferry J. Permana and Hans v.d. Weide Key words: basket options, spread options, log-normal approximation, closed form Add to Reading List Source URL: www.bbk.ac.uk Download Document from Source Website File Size: 348,44 KB Share Document on Facebook

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	A CLOSED FORM APPROACH TO THE VALUATION AND HEDGING OF BASKET AND SPREAD OPTIONS Svetlana Borovkova0 , Ferry J. Permana and Hans v.d. Weide Key words: basket options, spread options, log-normal approximation, closed form DocID: 1qiaY - View Document