Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations
Condensed Matter
2009-11-07 v1
Abstract
From the path integral formalism for price fluctuations with non-Gaussian distributions I derive the appropriate stochastic calculus replacing Ito's calculus for stochastic fluctuations.
Keywords
Cite
@article{arxiv.cond-mat/0203157,
title = {Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations},
author = {Hagen Kleinert},
journal= {arXiv preprint arXiv:cond-mat/0203157},
year = {2009}
}
Comments
Author Information under http://www.physik.fu-berlin.de/~kleinert/institution.html . Latest update of paper (including all PS fonts) at http://www.physik.fu-berlin.de/~kleinert/329