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- W2237804933 abstract "In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the Black & Scholes formula the calibration of both the Minority Game and the Grand Canonical Minority Game, by means of their characteristic parameters, is performed. We conclude that for both games the asymmetric phase with characteristic parameters close to critical ones is coherent with options implied volatility market." @default.
- W2237804933 created "2016-06-24" @default.
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- W2237804933 date "2013-05-14" @default.
- W2237804933 modified "2023-10-14" @default.
- W2237804933 title "From Minority Game to Black&Scholes Pricing" @default.
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- W2237804933 doi "https://doi.org/10.1080/1350486x.2013.787246" @default.
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