@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 abr. 2024"
}