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 |
|---|---|
| pagine (da-a) | 73-92 |
| Numero di pagine | 20 |
| Rivista | Decisions in Economics and Finance |
| Volume | 48 |
| Numero di pubblicazione | 1 |
| DOI | |
| Stato di pubblicazione | Pubblicato - giu 2025 |