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Stock exchange dynamics involving both Gaussian and Poissonian white noises: approximate solution via a symbolic stochastic calculus

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  • Jumarie, Guy

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  • Jumarie, Guy, 2002. "Stock exchange dynamics involving both Gaussian and Poissonian white noises: approximate solution via a symbolic stochastic calculus," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 179-189, October.
    • Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:179-189
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    References listed on IDEAS

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    1. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    2. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Jumarie, Guy, 2006. "Fractionalization of the complex-valued Brownian motion of order n using Riemann–Liouville derivative. Applications to mathematical finance and stochastic mechanics," Chaos, Solitons & Fractals, Elsevier, vol. 28(5), pages 1285-1305.

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