Stochastic calculus for assets with non-Gaussian price fluctuations

Hagen Kleinert

Physica A: Statistical Mechanics and its Applications, 2002, vol. 311, issue 3, 536-562

Abstract: From the path integral formalism for price fluctuations with non-Gaussian distributions we derive the appropriate stochastic calculus replacing Itô's calculus for stochastic fluctuations.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:311:y:2002:i:3:p:536-562

DOI: 10.1016/S0378-4371(02)00803-8

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