FP

FJ Permana

11 records found

American basket and spread option pricing by a simple binomial tree

Implied volatility in oil markets

Contributions to the financial mathematics of energy markets
Doctoral thesis (2008) - FJ Permana (author)

Asian basket options and implied correlations in oil markets
Conference paper (2007) - SA Borovkova (author), FJ Permana (author)

A GLN Approach to Valuation and Hedging of Asian Basket Options
Conference paper (2007) - SA Borovkova (author), FJ Permana (author)

Trading commodities: derivatives and risks

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

Modelling electricity prices by the potential jump-diffusion
Conference paper (2006) - SA Borovkova (author), FJ Permana (author)

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

Average price options in energy markets
Conference paper (2005) - SA Borovkova (author), FJ Permana (author)

Implied Volatility in Oil Markets
Conference paper (2005) - SA Borovkova (author), FJ Permana (author)