A master equation approach to option pricing

DOI10.1016/S0378-4371(02)01530-3zbMath1008.91033arXivcond-mat/0209522OpenAlexW3102121048MaRDI QIDQ1855544

D. Faller, Francesco Petruccione

Publication date: 5 February 2003

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0209522

zbMATH Keywords

Black-Scholes equationnumerical efficiencymesoscopic stochastic variable

Mathematics Subject Classification ID

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

Related Items (4)

Transition probability, dynamic regimes, and the critical point of financial crisis ⋮ A mathematical modeling approach to the formation of urban and rural areas: convergence of global solutions of the mixed problem for the master equation in sociodynamics ⋮ A mathematical-model approach to human population explosions caused by migration ⋮ On modified Black-Scholes equation

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• The Pricing of Options and Corporate Liabilities
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• Elements for a theory of financial risks
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• How to build master equations for complex systems
• The Mathematics of Financial Derivatives
• Option pricing when underlying stock returns are discontinuous
• Handbook of stochastic methods for physics, chemistry and the natural sciences.

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