Derivative pricing with non-linear Fokker-Planck dynamics
type: Item
instance of: scholarly article
title: Derivative pricing with non-linear Fokker-Planck dynamics
zbMATH Open document ID: 1057.91041
DOI: 10.1016/S0378-4371(02)01906-4
author: Fredrick Michael
author: Michael D. Johnson
published in: Physica A
publication date: 2003-05-21T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1914425
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: non-extensive statistics
zbMATH Keywords: Ito-Langevin equation
MaRDI profile type: Publication
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full work available at URL: s0378-4371(02)01906-4
OpenAlex ID: W2071464880
description: scientific article; zbMATH DE number 1914425