A stochastic partial differential equation for stock-price distributions
From MaRDI portal
Publication:3013371
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)
Recommendations
- Stochastic differential equations in finance
- Stochastic Partial Differential Equations and Portfolio Choice
- Derivation of Stochastic Partial Differential Equations
- Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
- Derivation of stochastic partial differential equations for reaction-diffusion processes
Cited in
(7)- STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
- Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
- Non-Gaussian distribution for stock returns and related stochastic differential equation
- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
- The financial value of knowing the distribution of stock prices in discrete market models
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
This page was built for publication: A stochastic partial differential equation for stock-price distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3013371)
