Essays about: "Anna Kolesnichenko"

Found 1 essay containing the words Anna Kolesnichenko.

  1. 1. Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Anna Kolesnichenko; Galina Shopina; [2007]
    Keywords : volatility; Black-Scholes-Barenbladt; finite differences method;

    Abstract : The famous Black-Scholes (BS) model used in the option pricing theory contains two parameters - a volatility and an interest rate. Both parameters should be determined before the price evaluation procedure starts. Usually one use the historical data to guess the value of these parameters. READ MORE