Black-Scholes model under subordination

Physica A: Statistical Mechanics and its Applications

Volumn 318, Issue 3-4, 2003, Pages 469-474

  Stanislavsky, A A ^a  

^a INSTITUTE OF RADIO ASTRONOMY   (Ukraine)

Author keywords

Brownian motion; Continuous time random walk; Econophysics; Fractional calculus; L vy process; Subordination

Indexed keywords

COMMERCE; MATHEMATICAL MODELS; RANDOM PROCESSES;

BLACK-SCHOLES (BS) MODEL;

FINANCE;

EID: 0037442596     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01372-9     Document Type: Article

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