IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v20y2013i6p578-598.html
   My bibliography  Save this article

From Minority Game to Black&Scholes Pricing

Author

Listed:
  • Matteo Ortisi
  • Valerio Zuccolo

Abstract

In this paper, we study the continuum time dynamics of a stock in a market where agents behaviour is modelled 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.

Suggested Citation

  • Matteo Ortisi & Valerio Zuccolo, 2013. "From Minority Game to Black&Scholes Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(6), pages 578-598, December.
    • Handle: RePEc:taf:apmtfi:v:20:y:2013:i:6:p:578-598
    DOI: 10.1080/1350486X.2013.787246
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1350486X.2013.787246
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1350486X.2013.787246?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jing, Ong Li & Bashir, Mohammed J.K. & Kao, Jehng-Jung, 2015. "Solar radiation based benefit and cost evaluation for solar water heater expansion in Malaysia," Renewable and Sustainable Energy Reviews, Elsevier, vol. 48(C), pages 328-335.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:20:y:2013:i:6:p:578-598. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.