Pricing and Hedging Asian Basket Spread Options in a Nutshell
نویسندگان
چکیده
In this paper we study the pricing and hedging of arithmetic Asian basket spread options of the European type and present the main results of Deelstra et al. (2008). Asian basket spread options are written on a multivariate underlying. Thus we fi rst need to specify a fi nancial market model containing multiple stocks. We choose to use the famous Black and Scholes model. by: Griselda Deelstra, Alexandre Petkovic and Michèle Vanmaele
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Pricing and hedging Asian basket spread options
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