A stochastic partial differential equation for stock-price distributions

zbMATH Open1223.60041MaRDI QIDQ3013371FDOQ3013371

Authors: Edward Alien, Xiaoyi Ji 

Publication date: 18 July 2011

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Mathematics Subject Classification ID

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)

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

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