Filho, Balieiro; Gabriel, Ruy; Rosenfeld, Rogerio - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 484-490
There is a well-developed framework, the Black–Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is...