Stochastic calculus for assets with non-Gaussian price fluctuations

DOI10.1016/S0378-4371(02)00803-8zbMath0996.91041arXivcond-mat/0203157MaRDI QIDQ1606132

Hagen Kleinert

Publication date: 24 July 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0203157

zbMATH Keywords

path integral formalism

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

A model for stocks dynamics based on a non-Gaussian path integral ⋮ Fast convergence of path integrals for many-body systems ⋮ A generalized Fourier transform approach to risk measures ⋮ Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions

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