Black–Scholes’ model and Bollinger bands

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 2006 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 371, pages 565-571 (issn: 0378-4371,

Copyright policy )

Authors: Wei Liu; Xudong Huang; Weian Zheng;

doi: 10.1016/j.physa.2006.03.033

Black–Scholes’ model and Bollinger bands

- Summary
- Metrics

Abstract

Abstract Bollinger bands are well-known in stock market as a popular technical analysis tool. We found that Black–Scholes stock price model had this Bollinger bands property also. In this paper, we give the proof of this phenomenon, and give a new distribution of a statistics generated by the Bollinger bands.

Related Organizations

University of California, Irvine
United States
Huaibei Normal University
China (People's Republic of)
East China Normal University
China (People's Republic of)

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	13
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average