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arXiv · 1205.2521

From Minority Game to Black & Scholes pricing

Matteo Ortisi·Valerio Zuccolo
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Abstract

In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the Black & Scholes formula the calibration of both the Minority Game and the Grand Canonical Minority Game, by means of their characteristic parameters, is performed. We conclude that for both games the asymmetric phase with characteristic parameters close to critical ones is coherent with options implied volatility market.

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Matteo Ortisi, Valerio Zuccolo. 2013-05-16. From Minority Game to Black & Scholes pricing. https://doi.org/10.1080/1350486x.2013.787246

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