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The paper is devoted to the problem of fitting optimal stochastic process of underlying asset movements in the option pricing. We use martingale theory and Monte Carlo methods to simulate some Levy processes. We argue that presented method may be used for solving the „volatility smile” problem. A real market example of finding an appropriate process is also described.
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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.
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