Essays about: "Ilya Tkachev"

Found 1 essay containing the words Ilya Tkachev.

  1. 1. Hedging strategy for an option on commodity market

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

    Author : Ilya Tkachev; [2010]
    Keywords : Financial Mathematics; Forward; Commodity; Multi-Factor; Hedging; Option pricing;

    Abstract : In this work we consider the methods of pricing and hedging an option on the forward commodity market described by the multi-factor diffusion model. In the previous research there were presented explicit valuation formulas for standard European type options and simulation schemes for other types of options. READ MORE