On a time-changed geometric brownian motion and its application in financial market

Acta Physica Polonica B

Volumn 43, Issue 8, 2012, Pages 1667-1681

  Gu, Hui ^a   Liang, Jin Rong ^a   Zhang, Yun Xiu ^a,b  

^a EAST CHINA NORMAL UNIVERSITY   (China)

^b NANJING FORESTRY UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

ASSET PRICES; FINANCIAL MARKET; FOKKER PLANCK; GEOMETRIC BROWNIAN MOTION; MARKET MODEL; PRICING FORMULA;

BROWNIAN MOVEMENT; COSTS; FOKKER PLANCK EQUATION;

GEOMETRY;

EID: 84864614781     PISSN: 05874254     EISSN: None     Source Type: Journal    
DOI: 10.5506/APhysPolB.43.1667     Document Type: Article

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