Pricing and hedging Asian basket spread options
- Author
- Griselda Deelstra, Alexander Petkovic and Michèle Vanmaele (UGent)
- Organization
- Keywords
- BOUNDS, SUMS, Non-comonotonic sum, Shifted log-extended skew normal law, Moment matching, Asian basket spread option, ACTUARIAL SCIENCE, PRICES, FINANCE, VARIABLES, VALUATION, COMONOTONICITY, APPROXIMATION
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-1005865
- MLA
- Deelstra, Griselda, et al. “Pricing and Hedging Asian Basket Spread Options.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, vol. 233, no. 11, 2010, pp. 2814–30, doi:10.1016/j.cam.2009.11.027.
- APA
- Deelstra, G., Petkovic, A., & Vanmaele, M. (2010). Pricing and hedging Asian basket spread options. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 233(11), 2814–2830. https://doi.org/10.1016/j.cam.2009.11.027
- Chicago author-date
- Deelstra, Griselda, Alexander Petkovic, and Michèle Vanmaele. 2010. “Pricing and Hedging Asian Basket Spread Options.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 233 (11): 2814–30. https://doi.org/10.1016/j.cam.2009.11.027.
- Chicago author-date (all authors)
- Deelstra, Griselda, Alexander Petkovic, and Michèle Vanmaele. 2010. “Pricing and Hedging Asian Basket Spread Options.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 233 (11): 2814–2830. doi:10.1016/j.cam.2009.11.027.
- Vancouver
- 1.Deelstra G, Petkovic A, Vanmaele M. Pricing and hedging Asian basket spread options. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 2010;233(11):2814–30.
- IEEE
- [1]G. Deelstra, A. Petkovic, and M. Vanmaele, “Pricing and hedging Asian basket spread options,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, vol. 233, no. 11, pp. 2814–2830, 2010.
@article{1005865,
author = {{Deelstra, Griselda and Petkovic, Alexander and Vanmaele, Michèle}},
issn = {{0377-0427}},
journal = {{JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS}},
keywords = {{BOUNDS,SUMS,Non-comonotonic sum,Shifted log-extended skew normal law,Moment matching,Asian basket spread option,ACTUARIAL SCIENCE,PRICES,FINANCE,VARIABLES,VALUATION,COMONOTONICITY,APPROXIMATION}},
language = {{eng}},
number = {{11}},
pages = {{2814--2830}},
title = {{Pricing and hedging Asian basket spread options}},
url = {{http://doi.org/10.1016/j.cam.2009.11.027}},
volume = {{233}},
year = {{2010}},
}
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