Empirical analysis of analytic approximation approaches for pricing and hedging spread options

SA Borovkova, FJ Permana, JAM van der Weide

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientific

Original languageUndefined/Unknown
Title of host publication4th Actuarial and Financial Mathematics Day
EditorsM Vanmaele, A De Schepper, J Dhaene, H Reynaerts, W Schoutens, P Van Goethem
Place of PublicationWetteren, Belgie
PublisherUniversa Press
Pages45-54
Number of pages10
Publication statusPublished - 2006
Event4th Actuarial and Financial Mathematics Day - Wetteren, Belgie
Duration: 10 Feb 200610 Feb 2006

Publication series

Name
PublisherUniversa Press

Conference

Conference4th Actuarial and Financial Mathematics Day
Period10/02/0610/02/06

Keywords

  • Conf.proc. > 3 pag

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