The effect of non-ideal market conditions on option pricing

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dc.creatorPerello, Josep
dc.creatorMasoliver, Jaume
dc.date2001-12-03
dc.date.accessioned2026-07-07T07:36:44Z
dc.date.available2026-07-07T07:36:44Z
dc.descriptionOption pricing is mainly based on ideal market conditions which are well represented by the Geometric Brownian Motion (GBM) as market model. We study the effect of non-ideal market conditions on the price of the option. We focus our attention on two crucial aspects appearing in real markets: The influence of heavy tails and the effect of colored noise. We will see that both effects have opposite consequences on option pricing.
dc.description26 pages and 8 colored figures. Invited Talk in "Horizons in complex systems", Messina, 5-8 December 2001. To appear in Physica-A
dc.identifierhttps://arxiv.org/abs/cond-mat/0112033
dc.identifierhttp://arxiv.org/abs/cond-mat/0112033
dc.identifierPhysica A 308, 420-442 (2002)
dc.identifierdoi:10.1016/S0378-4371(02)00627-1
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/120530
dc.subjectCondensed Matter
dc.subjectPhysics and Society
dc.titleThe effect of non-ideal market conditions on option pricing
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