标题： 从少数者博弈到布莱克-斯科尔斯定价 显示英文标题

标题： From Minority Game to Black & Scholes pricing

摘要： 本文研究了股票在市场中的连续时间动力学，其中投资者的行为由少数派博弈和广义正则少数派博弈建模。所推导出的动力学是一种广义的几何布朗运动；通过Black & Scholes公式，利用少数派博弈和广义正则少数派博弈的特征参数进行了校准。我们得出结论，对于这两种博弈，具有接近临界值的特征参数的非对称相与期权隐含波动率市场是一致的。 显示英文摘要

摘要： 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.