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Nowak, Piotr (matematyka) ; Nycz, Piotr ; Romaniuk, Maciej
Raport Badawczy = Research Report ; RB/40/2002
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
19 pages ; 21 cm ; Bibliography p. 18-19
The paper is devoted to the problem of fitting optimal stochastic process of underlying asset movements in the option pricing. The martingale theory and Monte Carlo methods were used to simulate some Levy processes. It was found that presented method may be used for solving the „volatility smile” problem. A real market example of finding an appropriate process is also described.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 19, 2021
Jan 27, 2020
51
https://rcin.org.pl./publication/137210
Nowak, Piotr Romaniuk, Maciej
Malinowski, Jacek
Malinowski, Jacek
Hryniewicz, Olgierd (1948– ) Romaniuk, Maciej
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Malinowski, Jacek
Nowak, Piotr Romaniuk, Maciej