Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
838775 | Nonlinear Analysis: Real World Applications | 2008 | 6 Pages |
Abstract
In this paper, applying the theory of fluctuations of the interfaces for statistical physics lattice models, we construct a financial model and use this financial model to describe the behavior or fluctuations of a stock price process in a stock market. By using the methods of statistical physics and under some conditions, we show that the finite dimensional distribution of a normalized random process for this financial model converges to the corresponding distribution of the Black–Scholes model.
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Engineering
Engineering (General)
Authors
Jun Wang, Song Deng,