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A non-Gaussian option pricing model with skew

Citations

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Cited by:

  1. Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020. "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers 2011.00312, arXiv.org.
  2. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
  3. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
  4. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  5. Michel Vellekoop & Hans Nieuwenhuis, 2007. "On option pricing models in the presence of heavy tails," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 563-573.
  6. Lisa Borland & Yoan Hassid, 2010. "Market panic on different time-scales," Papers 1010.4917, arXiv.org.
  7. Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
  8. Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
  9. Borland, Lisa, 2016. "Exploring the dynamics of financial markets: from stock prices to strategy returns," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 59-74.
  10. Zhao, Xiaojun & Zhang, Pengyuan, 2020. "Multiscale horizontal visibility entropy: Measuring the temporal complexity of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  11. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  12. Julio Pombo-Romero & Luis Varela & Carlos Ricoy, 2013. "Diffusion of innovations in social interaction systems. An agent-based model for the introduction of new drugs in markets," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 14(3), pages 443-455, June.
  13. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
  14. Ahmad Hajihasani & Ali Namaki & Nazanin Asadi & Reza Tehrani, 2020. "Non-Extensive Value-at-Risk Estimation During Times of Crisis," Papers 2005.09036, arXiv.org, revised Jan 2021.
  15. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  16. Moretto, Enrico & Pasquali, Sara & Trivellato, Barbara, 2016. "Option pricing under deformed Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 246-263.
  17. Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
  18. Zhao, Pan & Xiao, Qingxian, 2016. "Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics," Chaos, Solitons & Fractals, Elsevier, vol. 82(C), pages 5-10.
  19. Namaki, A. & Koohi Lai, Z. & Jafari, G.R. & Raei, R. & Tehrani, R., 2013. "Comparing emerging and mature markets during times of crises: A non-extensive statistical approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3039-3044.
  20. Fedotov, Sergei & Panayides, Stephanos, 2005. "Stochastic arbitrage return and its implication for option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 207-217.
  21. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
  22. Tapiero, Oren J., 2013. "A maximum (non-extensive) entropy approach to equity options bid–ask spread," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3051-3060.
  23. Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.
  24. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
  25. Gangadhar Nayak & Amit Kumar Singh & Dilip Senapati, 2021. "Computational Modeling of Non-Gaussian Option Price Using Non-extensive Tsallis’ Entropy Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1353-1371, April.
  26. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
  27. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Papers 1106.0039, arXiv.org.
  28. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
  29. Gottschalk, Sylvia, 2017. "Entropy measure of credit risk in highly correlated markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 11-19.
  30. Rodrigues, Ana Flávia P. & Cavalcante, Charles C. & Crisóstomo, Vicente L., 2019. "A projection pricing model for non-Gaussian financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
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