@misc{Nowak_Piotr_Optimal_2002,
 author={Nowak, Piotr and Nycz, Piotr and Romaniuk, Maciej},
 copyright={Creative Commons Attribution BY 4.0 license},
 address={Warszawa},
 journal={Raport Badawczy = Research Report},
 howpublished={online},
 year={2002},
 publisher={Instytut Badań Systemowych. Polska Akademia Nauk},
 publisher={Systems Research Institute. Polish Academy of Sciences},
 language={eng},
 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.},
 title={Optimal stochastic model in l1n - norm for option pricing via simulations},
 type={Text},
 URL={http://www.rcin.org.pl/Content/109189/PDF/RB-2002-40.pdf},
 keywords={Option pricing, Brownian motion, Poisson process, Martingale theory, Proces poisson, Wycena opcji, Monte carlo methods},
}