Option pricing under deformed Gaussian distributions

DOI10.1016/J.PHYSA.2015.11.026MaRDI QIDQ1619162zbMATH OpenOpenAlexWikidataFDO

Authors Enrico Moretto, Sara Pasquali, Barbara Trivellato

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2015.11.026

zbMATH Keywords

complete marketsdeformed exponentialderivative pricingfat tailsstochastic volatilityTsallis exponential

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A non-Gaussian option pricing model with skew
• A theory of non‐Gaussian option pricing
• Bounds for Jeffreys-Tsallis and Jensen-Shannon-Tsallis divergences
• Complete Models with Stochastic Volatility
• Deformed exponentials and applications to finance
• Empirical evidence on Student-t log-returns of diversified world stock indices
• Exact pricing with stochastic volatility and jumps
• Generalised Thermostatistics
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints
• New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
• Non-linear kinetics underlying generalized statistics
• On option pricing models in the presence of heavy tails
• Possible generalization of Boltzmann-Gibbs statistics.
• The minimal -entropy martingale measure
• The pricing of options and corporate liabilities

Cited in

(11)

• The effect of non-ideal market conditions on option pricing
• Fat tails and colored noise in financial derivatives
• Pricing of financial derivatives based on the Tsallis statistical theory
• Conditions for the existence of a generalization of Rényi divergence
• Investigation of non-Gaussian effects in the Brazilian option market
• A projection pricing model for non-Gaussian financial returns
• Option pricing with non-Gaussian scaling and infinite-state switching volatility
• Deformed exponentials and applications to finance
• Option pricing under general geometric Riemannian Brownian motions
• A theory of non‐Gaussian option pricing
• European option pricing formula in risk-averse markets based on the risk measure of VaR

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