Statistical mechanics of financial markets: exponential modifications to Black-Scholes.

DOI10.1016/S0895-7177(00)00064-9MaRDI QIDQ1597172zbMATH OpenOpenAlexFDO

Authors Lester Ingber, John K. Wilson

Publication date 5 May 2002

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(00)00064-9

Mathematics Subject Classification ID

Equilibrium statistical mechanics (82B99)

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Cites work

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Cited in

(8)

• An empirical model of volatility of returns and option pricing
• Exact and numerical solution of Black--Scholes matrix equation
• A new direct method for solving the Black-Scholes equation
• scientific article; zbMATH DE number 1604683 (Why is no real title available?)
• scientific article; zbMATH DE number 5014850 (Why is no real title available?)
• scientific article; zbMATH DE number 5620944 (Why is no real title available?)
• The Statistical Properties of the Black–Scholes Option Price
• Gaussian mixture modelling to detect random walks in capital markets

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Uses Software

• ASA

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