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Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula
16 references·9 citing·26 second hop
Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula (2010)Option traders use (very) sophisticated h…Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2011)Theory of Financial Risk and …Theory of rational option pricing (2005)Theory of rational option pri…Demand-Based Option Pricing (2005)Demand-Based Option PricingA theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…The variation of certain speculative prices (1997)The variation of certain spec…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The Black Swan (1954)The Black SwanA Tract on Monetary Reform (1924)A Tract on Monetary ReformDo personal values explain variation in satisficing measures of risk? (2021)Do personal values explain va…The Schmeidler expected utility model : Theory, implications, and an application to European call options (2016)The Schmeidler expected utili…Assessing Risk in Graphically Presented Financial Series (2016)Assessing Risk in Graphically…Quantitative Method in Finance: From Detachment to Ethical Engagement (2014)Quantitative Method in Financ…Choquet-based European option pricing with stochastic (and fixed) strikes (2014)Choquet-based European option…Mathematical definition, mapping, and detection of (anti)fragility (2013)Mathematical definition, mapp…Generation of Hypotheses by Ampliation of Data (2013)Generation of Hypotheses by A…De-idealization by commentary: the case of financial valuation models (2012)De-idealization by commentary…A Map and Simple Heuristic to Detect Fragility, Antifragility, and Model Error (2011)A Map and Simple Heuristic to…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)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)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)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Foreign currency option values (1983)blurred boundaries: the discourse of corruption, the culture of politics, and the imagined state (1995)Financialisation and the slowdown of accumulation (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)The politics of attention: how government prioritizes problems (2006)Power Laws in Economics and Finance (2009)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1924A Tract on Monetary Reform1,287 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 2005Demand-Based Option Pricing889 cited
  • 1954The Black Swan617 cited
  • 2015Rational Theory of Warrant Pricing534 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited

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Cited by

  • 2013Mathematical definition, mapping, and detection of (anti)fragility175 cited
  • 2014Choquet-based European option pricing with stochastic (and fixed) strikes22 cited
  • 2011A Map and Simple Heuristic to Detect Fragility, Antifragility, and Model Error19 cited
  • 2012De-idealization by commentary: the case of financial valuation models14 cited
  • 2013Generation of Hypotheses by Ampliation of Data12 cited
  • 2016Assessing Risk in Graphically Presented Financial Series11 cited
  • 2014Quantitative Method in Finance: From Detachment to Ethical Engagement8 cited
  • 2021Do personal values explain variation in satisficing measures of risk?5 cited
  • 2016The Schmeidler expected utility model : Theory, implications, and an application to European call options0 cited