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Empirical Estimation of Parameters for the Black Scholes Equation Based on Data for the Russian Financial Market

Student: Ivan Gordeev

Supervisor: Andrey G. Maksimov

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

This research is about one of the most popular option pricing model. In the paper there is the analytic solution for the Black-Scholes equation, derived by using partial differential equation techniques. Moreover, the risk-free interest rate and the asset return volatility, which are constant parameters in the equation, have been estimated with methods of econometrics and time series analysis. Stock quote data for the company of Yandex has been used for the estimation. Also, Yandex stock prices have been forecasted.

Full text (added May 20, 2020)

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