Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations

DOI10.1016/J.PHYSA.2021.126220MaRDI QIDQ2078650zbMATH OpenOpenAlexFDO

Authors L. S. Lima, J. H. C. Melgaço

Publication date 1 March 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2021.126220

zbMATH Keywords

Black \& Scholes equationItô stochastic processprice dynamics

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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• Cryptocurrency forecasting with deep learning chaotic neural networks
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• Price dynamics of the financial markets using the stochastic differential equation for a potential double well
• Self-organizing Ising model of financial markets
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• Stochastic methods. A handbook for the natural and social sciences
• Stochastic process with multiplicative structure for the dynamic behavior of the financial market
• The pricing of options and corporate liabilities

Cited in

(6)

• Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
• Nonlinear Averaging Axioms in Financial Mathematics and Stock Price Dynamics
• scientific article; zbMATH DE number 7174153 (Why is no real title available?)
• Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
• Solving multi-dimensional fractional Black-Scholes model using deep learning
• The fast Euler-Maruyama method for solving multiterm Caputo fractional stochastic delay integro-differential equations

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