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Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
16 references·1 citing·37 second hop
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model (2010)Adaptive-Wave Alternative for the Black-S…Explanatory Correlates of Consciousness: Theoretical and Computational Challenges (2009)Explanatory Correlates of Con…Theory of rational option pricing (2005)Theory of rational option pri…Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005)Reconciling Efficient Markets…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…The Statistical Mechanics of Financial Markets (2001)The Statistical Mechanics of …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Elliott Wave Principle: Key to Market Behavior (1978)Elliott Wave Principle: Key t…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A New Representation for Stochastic Integrals and Equations (1966)A New Representation for Stoc…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …On stochastic differential equations (1951)On stochastic differential eq…Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model (2020)Predicting the stock price of…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Diffusion processes with continuous coefficients, I (1969)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Entropy search for information-efficient global optimization (2012)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
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  • 1973Theory of Rational Option Pricing8,060 cited
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  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
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  • 2001The Statistical Mechanics of Financial Markets353 cited
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  • 1978Elliott Wave Principle: Key to Market Behavior

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  • 2020Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model51 cited