Risk and Complex Fractals in Finance∶ Application to a Black-Scholes Equation of Order n

DOI10.1080/02329290212166MaRDI QIDQ4466906zbMATH OpenOpenAlexFDO

Authors Guy Jumarie

Publication date 8 June 2004

Published in Systems Analysis Modelling Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02329290212166

zbMATH Keywords

Black-Scholes equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Portfolio theory (91G10) White noise theory (60H40) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 2095890
• MODELING FRACTAL DYNAMICAL SYSTEMS IN THE COMPLEX SPACE. FROM MACRO-OBSERVATION TO MICRO-OBSERVATION
• Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

Cited in

(11)

• MODELING FRACTAL DYNAMICAL SYSTEMS IN THE COMPLEX SPACE. FROM MACRO-OBSERVATION TO MICRO-OBSERVATION
• scientific article; zbMATH DE number 6449096 (Why is no real title available?)
• Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• scientific article; zbMATH DE number 2095890 (Why is no real title available?)
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
• Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
• Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
• An approach via fractional analysis to non-linearity induced by coarse-graining in space
• The inescapable need for fractal tools in finance

This page was built for publication: Risk and Complex Fractals in Finance∶ Application to a Black-Scholes Equation of Order n

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4466906)