Option traders use (very) sophisticated heuristics, never the Black- Scholes-Merton formula 1
暂无分享,去创建一个
[1] J. Bouchaud,et al. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management , 2011 .
[2] S. Nelson. The ABC of Options and Arbitrage , 2009 .
[3] M. Mew. A black swan? , 2009, BDJ.
[4] Scott Mixon. The Foreign Exchange Option Market, 1917-1921 , 2009 .
[5] Geoffrey Poitras,et al. The Early History of Option Contracts , 2009 .
[6] H. Zimmermann,et al. Vinzenz Bronzin's option pricing models : exposition and appraisal , 2009 .
[7] Scott Mixon. Option Markets and Implied Volatility: Past Versus Present , 2008 .
[8] Leonard R. Higgins,et al. The put-and-call , 2007 .
[9] Espen Gaarder Haug,et al. Derivatives Models on Models , 2007 .
[10] H. Zimmermann,et al. Amazing discovery: Vincenz Bronzin¿s option pricing models. , 2007 .
[11] Martin S. Fridson,et al. A History of the Theory of Investments: My Annotated Bibliography (a review) A History of the Theory of Investments: My Annotated Bibliography 2006 Mark Rubinstein John Wiley & Sons, Inc. +1 (201) 748-6358. 370 pages, $100. , 2007 .
[12] Lyndon Moore,et al. Derivative Pricing 60 Years before Black-Scholes: Evidence from the Johannesburg Stock Exchange , 2006 .
[13] Doriana Ruffino,et al. Derman and Taleb's 'the Illusions of Dynamic Replication': A Comment , 2006 .
[14] Fan Wang,et al. Beat The Market , 2005 .
[15] Nassim Nicholas Taleb,et al. The illusions of dynamic replication , 2005 .
[16] L. Pedersen,et al. Demand-Based Option Pricing , 2005 .
[17] William N. Goetzmann,et al. The Origins of Value: The Financial Innovations that Created Modern Capital Markets , 2005 .
[18] V. Plerou,et al. A theory of power-law distributions in financial market fluctuations , 2003, Nature.
[19] J. Bouchaud,et al. Welcome to a non-Black-Scholes world , 2001 .
[20] V. Plerou,et al. Scale invariance and universality of economic fluctuations , 2000 .
[21] Emanuel Derman,et al. STOCHASTIC IMPLIED TREES: ARBITRAGE PRICING WITH STOCHASTIC TERM AND STRIKE STRUCTURE OF VOLATILITY , 1998 .
[22] Joseph P. Kairys,et al. The Market for Equity Options in the 1870s , 1997 .
[23] E. Haug. The complete guide to option pricing formulas , 1997 .
[24] Benoit B. Mandelbrot,et al. Fractals and Scaling in Finance , 1997 .
[25] Bruno Dupire. Pricing with a Smile , 1994 .
[26] Douglas T. Breeden,et al. Prices of State-Contingent Claims Implicit in Option Prices , 1978 .
[27] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[28] J. P. Gould,et al. Transactions costs and the relationship between put and call prices , 1974 .
[29] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[30] C. Granger,et al. The Random Character of Stock Market Prices. , 1965 .
[31] H. P. Jr. Mackean,et al. Appendix : A free boundary problem for the heat equation arising from a problem in mathematical economics , 1965 .
[32] A. Boness. Elements of a Theory of Stock-Option Value , 1964, Journal of Political Economy.
[33] L. Bachelier,et al. Theory of Speculation , 1964 .
[34] B. Mandlebrot. The Variation of Certain Speculative Prices , 1963 .
[35] L. Breiman. Optimal Gambling Systems for Favorable Games , 1962 .
[36] T. Mann. The Black Swan , 1954 .
[37] G. Blau. Some Aspects of the Theory of Futures Trading , 1944 .
[38] J. Vega,et al. Confusion de confusiones , 1939 .
[39] J. Keynes. A Tract on Monetary Reform , 1923 .
[40] Vinzenz Bronzin. Theorie der Prämiengeschäfte , 1908 .
[41] F. C. Mills. Behaviour of Prices. , 2022 .