Jizba, Petr; Kleinert, Hagen; Haener, Patrick - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3503-3520
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the...