Pricing and Hedging of Options in the Russian Market

Student: Zotov Denis

Educational Programme: Bachelor

Year of Graduation: 2014

This paper explores issue of option hedging under the realistic market conditions. It starts by analysing the most basic Black and Scholes model and continues towards the description of the more complex models that account for the effects of transaction costs. Finaly models are modified and compared on the real market data obtained from the Moscow Exchange. On the basis of this analysis practical recommendations were made.

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