Derivative pricing with non-linear Fokker-Planck dynamics

DOI10.1016/S0378-4371(02)01906-4zbMath1057.91041OpenAlexW2071464880MaRDI QIDQ1873989

Fredrick Michael, Michael D. Johnson

Publication date: 21 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01906-4

zbMATH Keywords

non-extensive statisticsBlack-Scholes formulaIto-Langevin equation

Mathematics Subject Classification ID

Related Items (1)

Testing stationarity of the detrended price return in stock markets

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
• A quantitative test of Gibbs' statistical mechanics
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Introduction to Econophysics
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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