scientific article; zbMATH DE number 515790

MaRDI QIDQ4283294zbMATH OpenFDO

Authors Michael J. Stutzer

Publication date 11 March 1994

zbMATH Keywords

Black-Scholes option pricing formulaItô processmaximum entropy formalism

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Measures of information, entropy (94A17)

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Cited in

(9)

• Statistical equilibrium in one-step forward looking economic models
• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• Simple entropic derivation of a generalized Black-Scholes option pricing model
• Application of quantum master equation for long-term prognosis of asset-prices
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Prices are macro-observables! stylized facts from evolutionary finance
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• The market nanostructure origin of asset price time reversal asymmetry

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