HEDGING STRATEGY WITH LANGEVIN EVOLUTION (Q4522661): Difference between revisions
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| Property / cites work: The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes / rank | |||
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| Property / cites work: Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness / rank | |||
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| Property / cites work: Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024900000553 / rank | |||
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| Property / OpenAlex ID: W2113465104 / rank | |||
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Latest revision as of 09:03, 30 July 2024
scientific article; zbMATH DE number 1548410
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HEDGING STRATEGY WITH LANGEVIN EVOLUTION |
scientific article; zbMATH DE number 1548410 |
Statements
HEDGING STRATEGY WITH LANGEVIN EVOLUTION (English)
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23 October 2001
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price fluctuations
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Langevin equation
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Lévy distribution
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