Jump diffusion models and the evolution of financial prices

DOI10.1016/j.physleta.2011.06.051zbMath1250.91112MaRDI QIDQ715465

Iram M. Gléria, Annibal Figueiredo, Marcio T. De Castro, Sergio Da Silva

Publication date: 29 October 2012

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2011.06.051

zbMATH Keywords

stochastic processes; econophysics; KramersMoyal

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G80: Financial applications of other theories

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

Related Items

Efficient and flexible model-based clustering of jumps in diffusion processes, Diffusion equations and the time evolution of foreign exchange rates

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