Derivative pricing with non-linear Fokker-Planck dynamics
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Publication:1873989
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
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- 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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