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Welcome to a non-Black-Scholes world

Author

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  • J-P. Bouchaud
  • M. Potters

Abstract

Jean-Phillipe Bouchaud and Marc Potters, citing option markets and risk awareness, challenge the view that the Black-Scholes model needs little improvement - in fact, it should be seen as a special case of a more general theory.

Suggested Citation

  • J-P. Bouchaud & M. Potters, 2001. "Welcome to a non-Black-Scholes world," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 482-483.
    • Handle: RePEc:taf:quantf:v:1:y:2001:i:5:p:482-483
    DOI: 10.1080/713665871
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    Citations

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    Cited by:

    1. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
    2. Michael Weba, 2024. "Investment strategies based on forecasts are (almost) useless," Papers 2408.01772, arXiv.org.
    3. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Papers cond-mat/0501292, arXiv.org.
    4. Haug, Espen Gaarder & Taleb, Nassim Nicholas, 2011. "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 97-106, February.

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