Title:

Application of Levy process with jump components for option pricing

Subtitle:

Raport Badawczy = Research Report ; RB/12/2003

Creator:

Nowak, Piotr : Autor ; Romaniuk, Maciej : Autor

Publisher:

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

Place of publishing:

Warszawa

Date issued/created:

2003

Description:

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

Type of object:

Book/Chapter

Subject and Keywords:

Option pricing ; Symulacje ; Martingale theory ; Wycena opcji ; Simulation ; Black scholes model ; Model blacka scholesa ; Simulations

Abstract:

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.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2003-12

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