Statistical mechanics of financial markets: Exponential modifications to Black-Scholes-Reference-Cited by-同舟云学术

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Statistical mechanics of financial markets: Exponential modifications to Black-Scholes

Published:2000-04 Issue:8-9 Volume:31 Page:167-192
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Ingber L,Wilson J.K

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference66 articles.

1. Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?;Ederington,1998

2. Pricing and Hedging Long-Term Options;Bakshi,1998

3. Some Applications of Statistical Mechanics of Financial Markets;Ingber,1998

4. Volatility of volatility of financial markets;Ingber;Mathl. Comput. Modelling,1999

5. Options, Futures, and Other Derivatives;Hull,1997

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