|Generate QR code
Open Access
Subscription Access
Financial Derivatives Valuation
https://doi.org/10.32609/0042-8736-2007-10-125-131
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.
About the Author
A. Suetin
Financial Academy under the Government of the Russian Federation
Russian Federation
Russian Federation
References
1. Black F., Scholes M. The Pricing of Options and Corporate Liabilities // Journal of Political Economy.1973. Vol. 81, No 3. P. 637-654.
2. Laird Ch. Massive World Speculation Dominos // PrudentSquirrel.com. 2006. March 20.
3. Yen and yang: China-bashers may soon take aim at the yen, the world's most mispriced currency // The Economist. 2006. Sept. 28.
Review
For citations:
Suetin A. Financial Derivatives Valuation. Voprosy Ekonomiki. 2007;(10):125-131. (In Russ.) https://doi.org/10.32609/0042-8736-2007-10-125-131
Views:
505
Email this article 
