Adaptive-wave alternative for the black-scholes option pricing model

Cognitive Computation

Volumn 2, Issue 1, 2010, Pages 17-30

  Ivancevic, Vladimir G ^a  

^a DEFENCE SCIENCE AND TECHNOLOGY ORGANISATION   (Australia)

Author keywords

Adaptive Manakov system; Adaptive nonlinear Schr dinger equation; Black Scholes option pricing; Controlled Brownian behavior; Controlled stochastic volatility; Market heat potential

Indexed keywords

BLACK-SCHOLES; DINGER EQUATION; MANAKOV SYSTEMS; OPTION PRICING; STOCHASTIC VOLATILITY; CONTROLLED BROWNIAN BEHAVIOR; MARKET HEAT POTENTIAL;

ASSOCIATIVE PROCESSING; BROWNIAN MOVEMENT; COSTS; ECONOMICS; LEARNING ALGORITHMS; NONLINEAR EQUATIONS; PROBABILITY DENSITY FUNCTION; SOLITONS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; WAVE EQUATIONS; WAVE FUNCTIONS; COMMERCE; INVESTMENTS;

COMMERCE; NONLINEAR EQUATIONS;

EID: 77549083637     PISSN: 18669956     EISSN: 18669964     Source Type: Journal    
DOI: 10.1007/s12559-009-9031-x     Document Type: Article

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