Essays about: "Ilya Tkachev"
Found 1 essay containing the words Ilya Tkachev.
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1. Hedging strategy for an option on commodity market
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)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
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