@misc{Nowak_Piotr._Autor_Application_2003,
 author={Nowak, Piotr. Autor and Romaniuk, Maciej. Autor},
 copyright={Creative Commons Attribution BY 4.0 license},
 address={Warszawa},
 journal={Raport Badawczy = Research Report},
 howpublished={online},
 year={2003},
 publisher={Instytut Badań Systemowych. Polska Akademia Nauk},
 publisher={Systems Research Institute. Polish Academy of Sciences},
 language={eng},
 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.},
 title={Application of Levy process with jump components for option pricing},
 type={Text},
 keywords={Option pricing, Symulacje, Martingale theory, Wycena opcji, Simulation, Black scholes model, Model blacka scholesa, Simulations},
}