کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7375995 | 1480077 | 2018 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investigation of non-Gaussian effects in the Brazilian option market
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
An empirical study of the Brazilian option market is presented in light of three option pricing models, namely the Black-Scholes model, the exponential model, and a model based on a power law distribution, the so-called q-Gaussian distribution or Tsallis distribution. It is found that the q-Gaussian model performs better than the Black-Scholes model in about one third of the option chains analyzed. But among these cases, the exponential model performs better than the q-Gaussian model in 75% of the time. The superiority of the exponential model over the q-Gaussian model is particularly impressive for options close to the expiration date, where its success rate rises above ninety percent.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 496, 15 April 2018, Pages 525-539
Journal: Physica A: Statistical Mechanics and its Applications - Volume 496, 15 April 2018, Pages 525-539
نویسندگان
William O. Sosa-Correa, Antônio M.T. Ramos, Giovani L. Vasconcelos,