Efekt histerezy – wycena opcji i implikowana zmienność
Hysteretic-like effect – derivative pricing and implied volatility

Summary/Abstract: The paper presents one of the stochastic processes belonging to a new class of hysteretic-like processes. An attractive property of the class of processes introduced is that the hysteretic modification of the standard process does not introduce additional random factor. This results in the market completeness. It also allows to mimic a wealthy family of implied volatility surfaces.

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