We discuss a novel formula for probability density function describing log-returns dynamics on financial markets and corresponding novel pricing formula for European call option derived in [1]. Both formulas were derived within the Continuous-Time 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.

1. POSTER: The non-gaussian continuous-time random walk analisys of the option dynamics, PDF document, version 1.4, 0.4MB

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