Metadata language
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: Date issued/created: Description:19 stron ; 21 cm ; Bibliografia s. 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: Detailed Resource Type: Source: Language: Language of abstract: Rights:Licencja Creative Commons Uznanie autorstwa 4.0
Terms of use:Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -
Digitizing institution:Instytut Badań Systemowych Polskiej Akademii Nauk
Original in:Biblioteka Instytutu Badań Systemowych PAN
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