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Brownian motion 1 Conjugate heat equation 1 The Black–Scholes equation 1 Time-dependent metric 1
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Paeng, Seong-Hun 1
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Physica A: Statistical Mechanics and its Applications 1
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Stochastic modeling of stock price process induced from the conjugate heat equation
Paeng, Seong-Hun - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 385-394
Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is...
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