Stochastic modeling of stock price process induced from the conjugate heat equation

DOI10.1016/J.PHYSA.2014.09.021zbMath1402.91963OpenAlexW2021388713MaRDI QIDQ1783272

Seong-Hun Paeng

Publication date: 20 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2014.09.021

zbMATH Keywords

Brownian motionconjugate heat equationtime-dependent metricthe Black-Scholes equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Handbook of Feynman path integrals
• An alternative approach to solving the Black-Scholes equation with time-varying parameters
• Multiple Wiener integral
• Ricci flow, entropy and optimal transportation
• Analytic and geometric background of recurrence and non-explosion of the Brownian motion on Riemannian manifolds

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