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@Article{RamosCarvVasc:2016:ApBrMa,
               author = "Ramos, Antonio M{\'a}rio de Torres and Carvalho, J. A. and 
                         Vasconcelos, G. L.",
          affiliation = "{Instituto Nacional de Pesquisas Espaciais (INPE)}",
                title = "Exponential model for option prices: Application to the Brazilian 
                         market",
              journal = "Physica A: Statistical Mechanics and its Applications",
                 year = "2016",
               volume = "445",
                pages = "161--168",
                month = "Mar.",
             keywords = "Option pricing, Black-Scholes model, Non-Gaussian option modeling, 
                         Exponential distribution.",
             abstract = "In this paper we report an empirical analysis of the Ibovespa 
                         index of the Sao Paulo Stock Exchange and its respective option 
                         contracts. We compare the empirical data on the Ibovespa options 
                         with two option pricing models, namely the standard Black-Scholes 
                         model and an empirical model that assumes that the returns are 
                         exponentially distributed. It is found that at times near the 
                         option expiration date the exponential model performs better than 
                         the Black-Scholes model, in the sense that it fits the empirical 
                         data better than does the latter model.",
                  doi = "10.1016/j.physa.2015.11.007",
                  url = "http://dx.doi.org/10.1016/j.physa.2015.11.007",
                 issn = "0378-4371",
             language = "en",
           targetfile = "ramos_exponential.pdf",
        urlaccessdate = "27 nov. 2020"
}


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