Advanced search
Advanced search
Advanced search
Advanced search
Advanced search
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
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 8, 2020
Sep 17, 2020
1
https://rcin.org.pl/publication/174958
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Szwagrzyk, Jerzy
Weiner, January
Lubera, Ewa Krzaklewski, Paweł
Rakusa-Suszczewski, Stanisław
Mazurkiewicz, Ludwik