From Minority Game to Black&Scholes Pricing

DOI10.1080/1350486X.2013.787246zbMath1396.91755arXiv1205.2521OpenAlexW2237804933MaRDI QIDQ4585003

Matteo Ortisi, Valerio Zuccolo

Publication date: 5 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2521

zbMATH Keywords

option pricingminority gameagent-based modelsgrand canonical minority gamemarket calibration

Mathematics Subject Classification ID

Noncooperative games (91A10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Theory of Financial Risk and Derivative Pricing
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• Microscopic models for long ranged volatility correlations

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