Simulated stock price based on Geometric Brownian motion

Simulated stock price based on Geometric Brownian motion

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In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading strategy based on the difference between implied volatility of the option and the volatility of the underlying st...

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