@Article{Sosa-CorreaRamoVasc:2018:InNoEf,
               author = "Sosa-Correa, William O. and Ramos, Ant{\^o}nio M{\'a}rio de 
                         Torres and Vasconcelos, Giovani L.",
          affiliation = "{Universidade Federal de Pernambuco (UFPE)} and {Instituto 
                         Nacional de Pesquisas Espaciais (INPE)} and {Universidade Federal 
                         de Pernambuco (UFPE)}",
                title = "Investigation of non-Gaussian effects in the Brazilian option 
                         market",
              journal = "Physica A: Statistical Mechanics and its Applications",
                 year = "2018",
               volume = "496",
                pages = "525--539",
             keywords = "Exponential distribution, Non-Gaussian option models, Option 
                         pricing, Power law distribution.",
             abstract = "An empirical study of the Brazilian option market is presented in 
                         light of three option pricing models, namely the BlackScholes 
                         model, the exponential model, and a model based on a power law 
                         distribution, the so-called q-Gaussian distribution or Tsallis 
                         distribution. It is found that the q-Gaussian model performs 
                         better than the BlackScholes model in about one third of the 
                         option chains analyzed. But among these cases, the exponential 
                         model performs better than the q-Gaussian model in 75% of the 
                         time. The superiority of the exponential model over the q-Gaussian 
                         model is particularly impressive for options close to the 
                         expiration date, where its success rate rises above ninety 
                         percent.",
                  doi = "10.1016/j.physa.2017.12.115",
                  url = "http://dx.doi.org/10.1016/j.physa.2017.12.115",
                 issn = "0378-4371",
                label = "self-archiving-INPE-MCTIC-GOV-BR",
             language = "en",
           targetfile = "sosa-correa_investigation.pdf",
        urlaccessdate = "27 abr. 2024"
}