Original scientific paper
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
Abstract
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.
Keywords
fractional path integral; options pricing; financial modeling; stochastic models
Hrčak ID:
302732
URI
Publication date:
1.3.2010.
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