%0 Journal Article
%4 sid.inpe.br/mtc-m21b/2018/03.02.16.28
%2 sid.inpe.br/mtc-m21b/2018/03.02.16.28.05
%@doi 10.1016/j.physa.2017.12.115
%@issn 0378-4371
%F self-archiving-INPE-MCTIC-GOV-BR
%T Investigation of non-Gaussian effects in the Brazilian option market
%D 2018
%9 journal article
%A Sosa-Correa, William O.,
%A Ramos, Antônio Mário de Torres,
%A Vasconcelos, Giovani L.,
%@affiliation Universidade Federal de Pernambuco (UFPE)
%@affiliation Instituto Nacional de Pesquisas Espaciais (INPE)
%@affiliation Universidade Federal de Pernambuco (UFPE)
%@electronicmailaddress
%@electronicmailaddress antonio.ramos@inpe.br
%B Physica A: Statistical Mechanics and its Applications
%V 496
%P 525-539
%K Exponential distribution, Non-Gaussian option models, Option pricing, Power law distribution.
%X 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.
%@language en
%3 sosa-correa_investigation.pdf