Option pricing under deformed Gaussian distributions

DOI10.1016/j.physa.2015.11.026zbMath1400.91605OpenAlexW2182613462WikidataQ60394378 ScholiaQ60394378MaRDI QIDQ1619162

Sara Pasquali, Enrico Moretto, 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

stochastic volatilityderivative pricingdeformed exponentialcomplete marketsfat tailsTsallis exponential

Mathematics Subject Classification ID

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

Related Items (2)

Conditions for the existence of a generalization of Rényi divergence ⋮ A projection pricing model for non-Gaussian financial returns

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