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Educational Programme
Final Grade
Year of Graduation
Rustam Garafiev
Pricing and Hedging of Derivative Securities
Alexey S. Shvedov
Applied Economics
(Master’s programme)
This study is intended to review existing derivative securities pricing models in case of option contracts.

The paper provides qualitative and numerical comparison of the following models:

• classical Black-Scholes model and its modifications

• binomial model with discrete time

• finite difference method

• Monte Carlo method

Numerically, it was demonstrated that the most accurate of the discussed methods is the method of solving partial differential equation for options value.

The main scientific value of this study consists of its practical orientation, in this paper was demonstrated:

1) realization of dela hedging strategy;

2) possibility of using numerical methods of option pricing for creating trading strategies.

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