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Qualitative phase portrait of modified Black Scholes model

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Citace článku v časopise:
KONEČNÝ, Jiří, Tomáš VÍCHA a Mirko DOHNAL. Qualitative phase portrait of modified Black Scholes model. Expert Systems with Applications [online]. 2010, vol. 37, iss. 5, s. 3823-3826. [cit. 2017-08-21]. ISSN 0957-4174. Dostupné z: http://www.sciencedirect.com/science/article/pii/S0957417409009798.

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  1. Vagnani, Gianluca: "The Black–Scholes model as a determinant of the implied volatility smile: A simulation study." Journal of economic behavior & organization 72.1 (2009-10-01) 103-118.
  2. Motz, Robin O: "Financial model failed in real world." Nature 472.7341 (2011-04-01) 38-38.
  3. Ruiz, Mauricio: "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit." Physica. A 389.23 (2010-12-01) 5447-5459.
  4. Vagnani, Gianluca: "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study" Journal of economic behavior & organization 72.1 (2009-10-01) 103-118.
  5. MacKenzie, Donald: "An Equation and its Worlds: Bricolage, Exemplars, Disunity and Performativity in Financial Economics." Social studies of science 33.6 (2003-12-01) 831-868.
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  7. Black, Fischer: "The Pricing of Options and Corporate Liabilities" The journal of political economy 81.3 (1973) 637-654.
  8. Haug, Espen G: "Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula." Journal of economic behavior & organization 77.2 (2011-02-01) 97-106.
  9. Jana, T.K. K: "Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian" Physica. A 391.8 (2012-04) 2636-2640.
  10. Vagnani, Gianluca: "The Black–Scholes model as a determinant of the implied volatility smile: A simulation study" Journal of economic behavior & organization 72.1 (2009-10) 103-118.