A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option
By Svetlana Borovkova, F. J. Permana, H. V. D. Weide. 2007
102 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/3ffc1cdb79d2d39ea8535fda379718ea6c4b4c1c
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In Demography
In Finance
- Stephen Figlewski
- Martino Grasselli
- Gianluca Fusai
- Alessandro Gnoatto
- Ruggero Caldana
- Robert F. Engle
- Andrew J. Patton
- Kevin Sheppard
Citations in the corpus
- General closed-form basket option pricing bounds (2016, methodology): “The case of a basket where not all assets have positive weights (wk < 0 for some k) is discussed by Borovkova et al. (2007), Li et al. (2010) and Deelstra et al. (2010) in a lognormal setting. Borovkova et al. (2007) approximate the basket distribution by using a generalized family of lognormal dist”
- Modeling the Dynamics of Correlations Among Implied Volatilities (2015, background): “6 See Stulz (1982) or Borovkova et al. (2007), for example.”