Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations

Details Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations

2002-03-07

arxiv.org/abs/cond-mat/0203157v1

Physica A, 311 (2002) 536

Physics

Condensed Matter

Author Information under http://www.physik.fu-berlin.de/~kleinert/institution.html . Latest update of paper (including all P

Scientific paper

10.1016/S0378-4371(02)00803-8

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.

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