Project Description
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Option is an agreement between two parties on financial markets. Option gives rights to its buyer to buy or sell a financial asset at a specified price and specified time. Buyer of the option pays the price of the option to its seller. Seller of the option needs to trade on the financial market, using a replicating hedging strategy. A fair price of the option can be obtained by using value function of the corresponding option and replicating hedging strategy requires the knowledge of the partial derivative of the option value function.
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Members
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