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Analysis of Option Pricing in Russian Market, Taking into Account Liquidity

Student: Khrystsina Simakova

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2016

In this paper, an analysis of the liquidity impact on the pricing of options. For the study, we used two types of markets, liquid and illiquid, conclusions based on the data on the impact of market liquidity, the liquidity of the financial instrument in particular its pricing. The level of liquidity affects primarily on the volatility smile and volatility values ​​appearing in the final theoretical price impact on its effect, though not in such a great extent as the curve volatility, the form of which differs in the liquid and illiquid markets.

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