A theory of non-Gaussian option pricing

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Quantitative Finance, Vol. 2, No. 6, December 2002, 415–431

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Nonadditive entropy and nonextensive statistical mechanics - An overview after 20 years (2009, background): “(xiv) Financial return distributions in the New York Stock Exchange, NASDAQ and elsewhere are routinely interpreted as q-Gaussians [120–130].”
On non-Gaussianity and dependence in financial time series: a nonextensive approach (2005, background): “…(5) one can see that q, or , can be used as a measure of the distribution’s tail, i.e. a measure of non-Gaussianity and so of extreme importance since present financial models are based on the nonGaussianity of markets (Bouchaud and Potters 2000, Borland 2002a, b, Borland and Bouchaud 2004).”