Derivative pricing with non-linear Fokker-Planck dynamics (Q1873989): Difference between revisions

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-Michael D. Johnson
@@ Property / author: Michael D. Johnson / rank @@
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@@ Property / author @@
+Michael D. Johnson
@@ Property / author: Michael D. Johnson / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of stochastic methods for physics, chemistry and natural sciences.
+Normal rank
@@ Property / cites work @@
+A quantitative test of Gibbs' statistical mechanics
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4350437
@@ Property / cites work: Q4350437 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4365245
@@ Property / cites work: Q4365245 / rank @@
+Normal rank
@@ Property / cites work @@
+The Black-Scholes option pricing problem in mathematical  finance: generalization and extensions for a large class of stochastic processes
+Normal rank
@@ Property / cites work @@
+FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
+Normal rank
@@ Property / cites work @@
+Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0378-4371(02)01906-4
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@@ Property / OpenAlex ID @@
+W2071464880
@@ Property / OpenAlex ID: W2071464880 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:1873989