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_c53208 _d53208 |
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003 | OSt | ||
005 | 20191212175027.0 | ||
008 | 191212b ||||| |||| 00| 0 eng d | ||
100 |
_aChakrabartia, Prasenjit _935337 |
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245 | _aWhich is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis? | ||
300 | _a238-249 p. | ||
520 | _aThis 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 | _aGeometric Brownian motion | ||
653 | _aNormal inverse | ||
653 | _aGaussian distribution | ||
653 | _aTsallis distribution | ||
653 | _aStock index | ||
700 |
_aGuhathakuratab, Kousik _935338 |
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773 | 0 |
_026346 _977275 _aRAVI aNSHUMAN V. _dBANGOLRE IIM BANGALORE 2011 _o55511085 _tIIMB Management Review _x09793896 |
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942 |
_2ddc _cJA-ARTICLE |