Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis? (Record no. 53208)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01421nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20191212175027.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 191212b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chakrabartia, Prasenjit |
| 9 (RLIN) | 35337 |
| 245 ## - TITLE STATEMENT | |
| Title | Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis? |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 238-249 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Geometric Brownian motion |
| Uncontrolled term | Normal inverse |
| Uncontrolled term | Gaussian distribution |
| Uncontrolled term | Tsallis distribution |
| Uncontrolled term | Stock index |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Guhathakuratab, Kousik |
| 9 (RLIN) | 35338 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 26346 |
| Host Itemnumber | 77275 |
| Main entry heading | RAVI aNSHUMAN V. |
| Place, publisher, and date of publication | BANGOLRE IIM BANGALORE 2011 |
| Other item identifier | 55511085 |
| Title | IIMB Management Review |
| International Standard Serial Number | 09793896 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 12/12/2019 | Vol 31, Issue 3/ 55511085JA2 | 55511085JA2 | 12/12/2019 | 12/12/2019 |