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Journal of Applied Mathematics
Volume 2005, Issue 3, Pages 235-258
http://dx.doi.org/10.1155/JAM.2005.235

On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

1Department of Economic and Financial Models, Faculty of Mathematics, Physics and Informatics, Comenius University, Bratislava 842 48, Slovakia
2Institute of Applied Mathematics, Faculty of Mathematics, Physics and Informatics, Comenius University, Bratislava 842 48, Slovakia

Received 16 June 2004; Revised 28 January 2005

Copyright © 2005 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Martin Jandačka and Daniel Ševčovič, “On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile,” Journal of Applied Mathematics, vol. 2005, no. 3, pp. 235-258, 2005. https://doi.org/10.1155/JAM.2005.235.