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Replicating the market-to-market price of all derivative instruments

Tuesday, May 06, 2008
The aim is to achieve transparency in derivatives real time pricing.

A SQUARE :: 06May08 Replicating the market-to-market price of all derivative instruments
Category Derivative Pricing
Faculty David Gershon
Expertise Derivative Pricing
Author Sona Blessing
Faculty Name
The model accurately and consistently replicates the market prices of all options types as traded in the inter-bank broker markets for currencies, interest rates, equities, energy, commodities, CDOs.
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