Abstract
The paper demonstrates the construction of a stock price stochastic process that aligns with observed option prices, drawing inspiration from a manuscript by Professor Erio Castagnoli that employs the concept of a non-linear monotonic transformation of a standard Brownian motion. The paper includes a detailed numerical example that illustrates the implementation of this straightforward and ingenious idea.
Lingua originale | Inglese |
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Rivista | Decisions in Economics and Finance |
DOI | |
Stato di pubblicazione | Pubblicato - 2024 |