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
![عکس صفحه اول مقاله: Investigation of non-Gaussian effects in the Brazilian option market Investigation of non-Gaussian effects in the Brazilian option market](/preview/png/7375995.png)
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,