Izvorni znanstveni članak

Application of the fractional problem of the calculus of variations and the fractional path integral approach to stochastic modeling

R. A. El-Nabulsi ; Department of Nuclear and Energy Engineering, Cheju National University, Ara-dong 1, Jeju 690-756, South Korea

Sažetak

The fractional path integral approach is applied to stochastic models, in particular the financial derivatives and options pricing formulated within the framework of the fractional action-like variational approach recently introduced by the author. Many interesting features and consequences are revealed in some details.

Ključne riječi

fractional path integral; options pricing; financial modeling; stochastic models

Hrčak ID:

302732

URI

https://hrcak.srce.hr/302732

Datum izdavanja:

1.3.2010.

Podaci na drugim jezicima: hrvatski

Posjeta: 556 *