Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis?
| Autor: | Kousik Guhathakurata, Prasenjit Chakrabarti |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
Geometric Brownian motion 050208 finance Spot contract Gaussian 05 social sciences lcsh:Business General Business Management and Accounting Statistics::Computation Inverse Gaussian distribution symbols.namesake Distribution (mathematics) Valuation of options 0502 economics and business symbols Statistical physics lcsh:HF5001-6182 Gaussian network model 050203 business & management Mathematics |
| Zdroj: | IIMB Management Review, Vol 31, Iss 3, Pp 238-249 (2019) |
| ISSN: | 0970-3896 |
| DOI: | 10.1016/j.iimb.2019.03.011 |
| Popis: | This paper models Nifty spot prices using frameworks based on Gaussian distribution (geometric Brownian motion) and non-Gaussian distributions, viz. normal inverse Gaussian (NIG), and Tsallis distributions, to investigate which model best captures the underlying dynamics. The simulation results suggest that Tsallis outperforms the Gaussian model and NIG in predicting the Nifty spot prices. Amongst the non-Gaussian models, Tsallis better captures the behaviour of Nifty spot prices than NIG distribution. Based on our findings, we conclude that non-Gaussian option pricing frameworks to price Nifty options are likely to give better results over the traditional class of Gaussian models. Keywords: Geometric Brownian motion, Normal inverse Gaussian distribution, Tsallis distribution, Stock index |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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