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cond-mat.stat-mech2002
A Theory of Non_Gaussian Option Pricing
Lisa Borland
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes t…
cond-mat.stat-mech2002★ 276 cited
Option Pricing Formulas based on a non-Gaussian Stock Price Model
Lisa Borland
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter . A generalized…