Application of a method of cluster expansion to security price process

MaRDI QIDQ3644178zbMATH OpenFDO

Authors Koji Kuroda

Publication date 3 November 2009

Full work available at URL http://www.chs.nihon-u.ac.jp/institute/nature/kiyou/1999/pdf/3_3.pdf

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(1)

• Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market

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