Inny tytuł:

Raport Badawczy = Research Report ; RB/12/2003

Wydawca:

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

Miejsce wydania:

Warszawa

Opis:

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

Typ obiektu:

Book/Chapter

Abstrakt:

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.

Czasopismo/Seria/cykl:

Raport Badawczy = Research Report

Szczegółowy typ zasobu:

Report

Identyfikator zasobu:

oai:rcin.org.pl:139526

Źródło:

RB-2003-12

Język:

eng

Język streszczenia:

eng

Prawa:

Creative Commons Attribution BY 4.0 license

Zasady wykorzystania:

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: ; -

Digitalizacja:

Systems Research Institute of the Polish Academy of Sciences

Lokalizacja oryginału:

Library of Systems Research Institute PAS

Dofinansowane ze środków:

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.

Dostęp:

Open