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

Conference paper (2006)

Authors

SA Borovkova Statistics - EEMCS
FJ Permana External organisation
J.A.M. van der Weide Applied Probability - EEMCS
Research Group
Statistics (EEMCS) (TU Delft)
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Published Date

2006

Language

Undefined/Unknown

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Statistics