What is the price of a derivative security?

Sasha Rozenberg

Journal of Securities Operations & Custody, 2009, vol. 2, issue 2, 181-186

Abstract: This paper analyses pricing financial instruments from different angles: it discusses classification of the instruments according to their difficulty; it presents derivative pricing methodologies and different sides in the mark-to-market vs. mark-to-holding argument; it describes challenges in data collection and cleansing, and technological systems that handle the data; it dicusses the notion of the model risk of derivative valuation. In addition, it recommends best practices to the buy-side community for valuing complex trades and also discusses the best practices for choosing independent valuation vendors.

Keywords: derivative; valuation; pricing model; mark-to-market; model risk; FAS 157 (search for similar items in EconPapers)
JEL-codes: E5 G2 K22 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:aza:jsoc00:y:2009:v:2:i:2:p:181-186

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