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Financial Derivatives Valuation

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  • A. Suetin

Abstract

The article contains a thorough analysis of the world financial derivatives market with special reference to theoretical issues. It puts forward and traces Black-Scholes options valuation model. The author underlines particularities of advanced practical derivatives price calculation, using the math formula of the Nobel Prize winners. Some practical features of the concept and its implementation within notorious Long-Term Capital Management hedge fund are emphasized.

Suggested Citation

  • A. Suetin, 2007. "Financial Derivatives Valuation," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
    • Handle: RePEc:nos:voprec:y:2007:id:1664
    DOI: 10.32609/0042-8736-2007-10-125-131
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    File URL: https://www.vopreco.ru/jour/article/viewFile/1664/1666
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