Ito Processes with Finitely Many States of Memory
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References listed on IDEAS
- McCauley, J.L. & Gunaratne, G.H. & Bassler, K.E., 2007. "Martingale option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 351-356.
- J. L. McCauley & G. H. Gunaratne & K. E. Bassler, 2006. "Martingale Option Pricing," Papers physics/0606011, arXiv.org, revised Feb 2007.
- Duffie, Darrell, 1988. "An extension of the Black-Scholes model of security valuation," Journal of Economic Theory, Elsevier, vol. 46(1), pages 194-204, October.
- McCauley, Joseph L. & Gunaratne, Gemunu H. & Bassler, Kevin E., 2007. "Martingale option pricing," MPRA Paper 2151, University Library of Munich, Germany.
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- Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2007. "Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts," MPRA Paper 5813, University Library of Munich, Germany.
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KeywordsIto process; martingale; stochastic differential eqn.; Langevin eqn.; memory; nonMarkov process; Fokker-Planck eqn.; Kolmogorov’s backward time eqn.; Chapman-Kolmogorov eqn.; Black-Scholes eqn;
- G1 - Financial Economics - - General Financial Markets
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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