Derivative pricing with non-linear Fokker-Planck dynamics (Q1873989)

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Derivative pricing with non-linear Fokker-Planck dynamics
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    title
    Derivative pricing with non-linear Fokker-Planck dynamics (English)
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    author
    Fredrick Michael
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    Michael D. Johnson
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    published in
    Physica A
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    publication date
    21 May 2003
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    zbMATH DE Number
    1914425
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    zbMATH Keywords
    Black-Scholes formula
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    non-extensive statistics
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    Ito-Langevin equation
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