Title:

Optimal stochastic model in l1n - norm for option pricing via simulations

Subtitle:

Raport Badawczy = Research Report ; RB/40/2002

Creator:

Nowak, Piotr (matematyka) ; Nycz, Piotr ; Romaniuk, Maciej

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2002

Description:

19 pages ; 21 cm ; Bibliography p. 18-19

Subject and Keywords:

Option pricing ; Brownian motion ; Poisson process ; Martingale theory ; Proces poisson ; Wycena opcji ; Monte carlo methods

Abstract:

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.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2002-40

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

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: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open