Learning agents in Black-Scholes financial markets

Tushar Vaidya
Tushar Vaidya
Carlos Murguia
Carlos Murguia

ROYAL SOCIETY OPEN SCIENCE, pp. 201188-201188, 2020.

Cited by: 0|Views4
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Abstract:

Black-Scholes (BS) is a remarkable quotation model for European option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS framework assumes that volatility remains constant across all strikes; however, in practice, it varie...More

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