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Quantitative Finance Volume 2, 2002 - Issue 6
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Research papers

A theory of non‐Gaussian option pricing

Lisa Borland Evnine‐Vaughan Associates, Inc., 456 Montgomery Street, Suite 800, San Francisco, CA, 94104, USA
Pages 415-431 | Received 07 May 2002, Accepted 21 Nov 2002, Published online: 15 Jul 2010

Citations (23)

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Marcus Seidl, Andreas Wensauer & Wolfgang Faber. (2022) Experience with valuation methods for the creation of real options enabling diversity of nuclear fuel supply. Journal of Nuclear Science and Technology 59:2, pages 175-187.
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Giacomo Bormetti & Sofia Cazzaniga. (2014) Multiplicative noise, fast convolution and pricing. Quantitative Finance 14:3, pages 481-494.
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Lisa Borland. (2012) Statistical signatures in times of panic: markets as a self-organizing system. Quantitative Finance 12:9, pages 1367-1379.
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Emanuel Derman, Kun Soo Park & Ward Whitt. (2010) A stochastic-difference-equation model for hedge-fund returns. Quantitative Finance 10:7, pages 701-733.
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Lisa Borland. (2007) A theory of non-Gaussian option pricing. Quantitative Finance 7:6, pages 701-701.
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Michel Vellekoop & Hans Nieuwenhuis. (2007) On option pricing models in the presence of heavy tails. Quantitative Finance 7:5, pages 563-573.
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G. Bormetti, G. Montagna, N. Moreni & O. Nicrosini. (2006) Pricing exotic options in a path integral approach. Quantitative Finance 6:1, pages 55-66.
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S. M. Duarte Queirós. (2005) On non-Gaussianity and dependence in financial time series: a nonextensive approach. Quantitative Finance 5:5, pages 475-487.
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Lisa Borland & Jean-Philippe Bouchaud. (2004) A non-Gaussian option pricing model with skew. Quantitative Finance 4:5, pages 499-514.
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Articles from other publishers (14)

Chengyuan Han, Hannes Hilger, Eva Mix, Philipp C. Böttcher, Mark Reyers, Christian Beck, Dirk Witthaut & Leonardo Rydin Gorjão. (2022) Complexity and Persistence of Price Time Series of the European Electricity Spot Market. PRX Energy 1:1.
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Sandhya Devi. (2019) Financial portfolios based on Tsallis relative entropy as the risk measure. Journal of Statistical Mechanics: Theory and Experiment 2019:9, pages 093207.
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Sandhya Devi. (2017) Financial market dynamics: superdiffusive or not?. Journal of Statistical Mechanics: Theory and Experiment 2017:8, pages 083207.
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Ramazan Gençay & Nikola Gradojevic. (2017) The Tale of Two Financial Crises: An Entropic Perspective. Entropy 19:6, pages 244.
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Petr Jizba, Jan Korbel & Václav Zatloukal. (2017) Tsallis thermostatics as a statistical physics of random chains. Physical Review E 95:2.
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Pan Zhao & Qingxian Xiao. (2016) Variance-Optimal Hedging for the Process Based on Non-Extensive Statistical Mechanics and Poisson Jumps. Acta Physica Polonica A 129:6, pages 1252-1256.
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Gigel Busca, Emmanuel Haven, Franck Jovanovic & Christophe Schinckus. (2014) The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution. Theoretical Economics Letters 04:09, pages 760-766.
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Dragan Kukolj, Nikola Gradojevic & Camillo Lento. (2012) Improving non-parametric option pricing during the financial crisis. Improving non-parametric option pricing during the financial crisis.
B. Coutinho dos Santos & C. Tsallis. (2010) Time evolution towards -Gaussian stationary states through unified Itô-Stratonovich stochastic equation . Physical Review E 82:6.
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Benoit Pochart & Jean-Philippe Bouchaud. (2003) Option Pricing and Hedging with Minimum Local Expected Shortfall. SSRN Electronic Journal.
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Sofiane Aboura & Didier Maillard. (2014) Option Pricing under Skewness and Kurtosis Using a Cornish Fisher Expansion. SSRN Electronic Journal.
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J. C. Arismendi. (2014) A Multi-Asset Option Approximation for General Stochastic Processes. SSRN Electronic Journal.
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Dragan Kukolj, Nikola Gradojevic & Camillo Lento. (2012) Improving Non-Parametric Option Pricing during the Financial Crisis. SSRN Electronic Journal.
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Tommi A. Vuorenmaa. (2009) A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data. SSRN Electronic Journal.
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