Raport Badawczy = Research Report ; RB/12/2003
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
19 pages ; 21 cm ; Bibliography p. 18-19
Classical Black-Scholes formula is a widely known result for European-style option pricing. However, this model does not explain entirely the behavior of real stock markets. In this paper we present the extension of Black-Scholes model to Levy process with jump components. Our methodology is based on Monte Carlo simulations and martingale theory. Also an application for pricing S&P 500 option is presented.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
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Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 8, 2020
Sep 17, 2020
1
https://rcin.org.pl./publication/174958
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej