The DOI matches its Crossref record; 16 of the 16 references it cites were found in a registry or an index.
Option Pricing Formulas Based on a Non-Gaussian Stock Price Model
Open accessAbstract
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter q. A generalized form of the Black-Scholes (BS) partial differential equation and some closed-form solutions are obtained. The standard BS equation (q=1) which is used by economists to calculate option prices requires multiple values of the stock volatility (known as the volatility smile). Using q=1.5 which well models the empirical distribution of returns, we get a good description of option prices using a single volatility.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Possible generalization of Boltzmann-Gibbs statistics
Tsallis, C. (1988) · Journal of Statistical Physics · doi:10.1007/bf01016429 · Cited by 9,589
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Handbook of Stochastic Methods
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Handbook of Stochastic Methods
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Stochastic Differential Equations
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Martingale Methods in Financial Modelling
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Scaling of the distribution of fluctuations of financial market indices
Gopikrishnan, P., Plerou, V., Nunes Amaral, L. A., Meyer, M., & Stanley, H. E. (1999) · Physical Review E · doi:10.1103/physreve.60.5305 · Cited by 892
Metadata
- Authors
- Borland, L.
- Venue
- Physical Review Letters
- Publisher
- American Physical Society (APS)
- Published
- 2002-08-07
- Volume
- 89
- Issue
- 9
- Pages
- 098701-098701
- ISSN
- 0031-9007 (ISSN-L)
- 1079-7114
- OpenAlex
- W2053333723
- Cited by
- 276
- References
- 16
- FWCI
- 7.73
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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