000 01421nam a2200217 4500
999 _c53208
_d53208
003 OSt
005 20191212175027.0
008 191212b ||||| |||| 00| 0 eng d
100 _aChakrabartia, Prasenjit
_935337
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
773 0 _026346
_977275
_aRAVI aNSHUMAN V.
_dBANGOLRE IIM BANGALORE 2011
_o55511085
_tIIMB Management Review
_x09793896
942 _2ddc
_cJA-ARTICLE