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The nongaussian continuoustime random walk analisys of the option dynamics 
Tomasz M. Ciepliński ^{1}, Ryszard Kutner ^{2} 
1. Uniwersytet Warszawski, Wydział Fizyki, Instytut Fizyki Doswiadczalnej, Zakład Dydaktyki Fizyki, Smyczkowa 5/7, Warszawa 02678, Poland 
Abstract 
We discuss a novel formula for probability density function describing logreturns dynamics on financial markets and corresponding novel pricing formula for European call option derived in [1]. Both formulas were derived within the ContinuousTime Random Walk formalism. We compared predictions of formulas with several data sets obtained from stock markets of small , middle and large sizes observing a good agreement. Our project is to describe obtained results within a microscopic dynamics defined, for example, by the threshold model of Sieczka and Hołyst [2]. [1] A. Jurlewicz, A. Wołamańska, and P. Żebrowski, Acta Phys. Pol. A 114 (2008) 629. [2] P. Sieczka and J. A. Hołyst, Acta Phys. Pol. A 114 (2008) 525. 
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Presentation: Poster at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Tomasz M. Ciepliński Submitted: 20101007 23:26 Revised: 20101007 23:26 