Fractional Fokker-Planck Equation and Black-Scholes Formula in Composite-Diffusive Regime

Journal of Statistical Physics

Volumn 146, Issue 1, 2012, Pages 205-216

  Liang, Jin Rong ^a   Wang, Jun ^b   Lǔ, Long Jin ^b   Gu, Hui ^a   Qiu, Wei Yuan ^b   Ren, Fu Yao ^b  

^a EAST CHINA NORMAL UNIVERSITY   (China)

^b FUDAN UNIVERSITY   (China)

Author keywords

Anomalous diffusion; Black Scholes equation; Fractional Fokker Planck equation

Indexed keywords

EID: 84155189661     PISSN: 00224715     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10955-011-0396-3     Document Type: Article

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