A non-Gaussian option pricing model based on Kaniadakis exponential deformation

Enrico Moretto, Sara Pasquali and Barbara Trivellato
Additional contact information
Sara Pasquali: CNR-IMATI
Barbara Trivellato: CNR-IMATI

The European Physical Journal B: Condensed Matter and Complex Systems, 2017, vol. 90, issue 10, 1-10

Abstract: Abstract A way to make financial models effective is by letting them to represent the so called “fat tails”, i.e., extreme changes in stock prices that are regarded as almost impossible by the standard Gaussian distribution. In this article, the Kaniadakis deformation of the usual exponential function is used to define a random noise source in the dynamics of price processes capable of capturing such real market phenomena.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1140/epjb/e2017-80112-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:90:y:2017:i:10:d:10.1140_epjb_e2017-80112-x

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2017-80112-x

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().