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Option Pricing Formulas based on a non-Gaussian Stock Price Model

Citations

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Cited by:

  1. Arismendi, Juan & Genaro, Alan De, 2016. "A Monte Carlo multi-asset option pricing approximation for general stochastic processes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 75-99.
  2. Hongler, Max-Olivier & Filliger, Roger & Blanchard, Philippe, 2006. "Soluble models for dynamics driven by a super-diffusive noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 301-315.
  3. Kononovicius, A. & Ruseckas, J., 2015. "Nonlinear GARCH model and 1/f noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 74-81.
  4. S. M. Duarte Queiros, 2005. "On non-Gaussianity and dependence in financial time series: a nonextensive approach," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 475-487.
  5. Vygintas Gontis & Aleksejus Kononovicius, 2014. "Consentaneous Agent-Based and Stochastic Model of the Financial Markets," PLOS ONE, Public Library of Science, vol. 9(7), pages 1-12, July.
  6. Potirakis, Stelios M. & Zitis, Pavlos I. & Eftaxias, Konstantinos, 2013. "Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2940-2954.
  7. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  8. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
  9. Marco A. S. Trindade & Sergio Floquet & Lourival M. S. Filho, 2018. "Portfolio Theory, Information Theory and Tsallis Statistics," Papers 1811.07237, arXiv.org, revised Oct 2019.
  10. Koltcov, Sergei, 2018. "Application of Rényi and Tsallis entropies to topic modeling optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1192-1204.
  11. Tsallis, Constantino & Borges, Ernesto P., 2021. "Comment on “Pricing of financial derivatives based on the Tsallis statistical theory” by Zhao, Pan, Yue and Zhang," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  12. Borland, Lisa, 2016. "Exploring the dynamics of financial markets: from stock prices to strategy returns," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 59-74.
  13. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  14. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
  15. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  16. Politi, Mauro & Scalas, Enrico, 2008. "Fitting the empirical distribution of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2025-2034.
  17. Ramos, Antônio M.T. & Carvalho, J.A. & Vasconcelos, G.L., 2016. "Exponential model for option prices: Application to the Brazilian market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 161-168.
  18. Moretto, Enrico & Pasquali, Sara & Trivellato, Barbara, 2016. "Option pricing under deformed Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 246-263.
  19. A. Plastino & Mario C. Rocca, 2015. "On the Nature of the Tsallis–Fourier Transform," Mathematics, MDPI, vol. 3(3), pages 1-9, July.
  20. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
  21. Xinxin Jiang, 2025. "Modeling Stock Return Distributions and Pricing Options," Papers 2503.08666, arXiv.org.
  22. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
  23. Aleksejus Kononovicius & Julius Ruseckas, 2014. "Nonlinear GARCH model and 1/f noise," Papers 1412.6244, arXiv.org, revised Feb 2015.
  24. Zheqing Zhu & Jian-guo Liu & Lei Li, 2017. "A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction," Papers 1709.03611, arXiv.org.
  25. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  26. Rodrigues, Ana Flávia P. & Cavalcante, Charles C. & Crisóstomo, Vicente L., 2019. "A projection pricing model for non-Gaussian financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  27. Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
  28. Rivera-Castro, Miguel A. & Miranda, José G.V. & Borges, Ernesto P. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "A top–bottom price approach to understanding financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1489-1496.
  29. Robert Kluszczyński & Stanisław Drożdż & Jarosław Kwapień & Tomasz Stanisz & Marcin Wątorek, 2025. "Disentangling Sources of Multifractality in Time Series," Mathematics, MDPI, vol. 13(2), pages 1-32, January.
  30. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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