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Basket options and implied correlations

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Basket options and implied correlations: a closed form ...

www.bbk.ac.uk

1 Basket options and implied correlations: a closed form approach Svetlana Borovkova Free University of Amsterdam CFC conference, London, January 17-18, 2007

  Form, Approach, Correlations, Basket, Closed, Options, Implied, Basket options and implied correlations, A closed form approach

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Basket options and implied correlations, Basket options and implied correlations: a closed form approach