Generalizing the Black and Scholes Equation Assuming Differentiable Noise
This article develops probability equations for an asset value through time, assuming continuous correlated differentiable Gaussian distributed noise. Ito’s (1944) stochastic integral and a generalized Novikov’s (1919) theorem are used. As an example, the mathematical model is used to generalize the...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2024-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2024/8906248 |
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