2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/120530Option 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.26 pages and 8 colored figures. Invited Talk in "Horizons in complex systems", Messina, 5-8 December 2001. To appear in Physica-ACondensed MatterPhysics and Societytext