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RCIN and OZwRCIN projects

Object

Title: Application of Levy process with jump components for option pricing

Creator:

Nowak, Piotr : Autor ; Romaniuk, Maciej : Autor

Date issued/created:

2003

Resource type:

Tekst

Subtitle:

Raport Badawczy = Research Report ; RB/12/2003

Publisher:

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

Place of publishing:

Warszawa

Description:

19 stron ; 21 cm ; Bibliografia s. 18-19

Type of object:

Książka/Rozdział

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

Detailed Resource Type:

Raport

Resource Identifier:

oai:rcin.org.pl:139526

Source:

RB-2003-12

Language:

eng

Language of abstract:

eng

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

Projects co-financed by:

Program Operacyjny Polska Cyfrowa, lata 2014-2020, Działanie 2.3 : Cyfrowa dostępność i użyteczność sektora publicznego; środki z Europejskiego Funduszu Rozwoju Regionalnego oraz współfinansowania krajowego z budżetu państwa

Access:

Otwarty

Object collections:

Last modified:

Oct 8, 2020

In our library since:

Sep 17, 2020

Number of object content downloads / hits:

1

All available object's versions:

https://rcin.org.pl/publication/174958

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