Exponential model for option prices: Application to the Brazilian market

• Published in: Physica A Vol. 445; pp. 161 - 168
• Main Authors: Ramos, Antônio M.T., Carvalho, J.A., Vasconcelos, G.L.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.03.2016
• Subjects: Black–Scholes model; Exponential distribution; Non-Gaussian option modeling; Option pricing; Exponential distribution; Option pricing; Black–Scholes model; Non-Gaussian option modeling

In this paper we report an empirical analysis of the Ibovespa index of the São 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 t...