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.
Moretto, E., Pasquali, S., Trivellato, B. (2017). A non-Gaussian option pricing model based on Kaniadakis exponential deformation. THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS, 90(10), 1-10 [10.1140/epjb/e2017-80112-x].
A non-Gaussian option pricing model based on Kaniadakis exponential deformation
Moretto, E
;
2017
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.
| File | Dimensione | Formato | |
|---|---|---|---|
|
20171006_b170112_EPJB.pdf
Solo gestori archivio
Dimensione
2.93 MB
Formato
Adobe PDF
|
2.93 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
