Browsing "Faculty of Computer Science and Engineering" by Subject geometric Brownian motion; Fokker–Planck equation; Black–Scholes model; option pricing
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| [HTML] from mdpi.com Full View Generalised geometric Brownian motion: Theory and applications to option pricing | Stojkoski, Viktor; Sandev, Trifce; Basnarkov, Lasko ; Kocarev, Ljupco; Metzler, Ralf | 18-Dec-2020 | Article |