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Stochastic calculus for assets with non-Gaussian price fluctuations

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  • Kleinert, Hagen

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.

Suggested Citation

  • Kleinert, Hagen, 2002. "Stochastic calculus for assets with non-Gaussian price fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(3), pages 536-562.
    • Handle: RePEc:eee:phsmap:v:311:y:2002:i:3:p:536-562
    DOI: 10.1016/S0378-4371(02)00803-8
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    References listed on IDEAS

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    Cited by:

    1. Paolinelli, Giovanni & Arioli, Gianni, 2019. "A model for stocks dynamics based on a non-Gaussian path integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 499-514.
    2. Giovanni Paolinelli & Gianni Arioli, 2018. "A model for stocks dynamics based on a non-Gaussian path integral," Papers 1809.01342, arXiv.org, revised Oct 2018.

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