Stanislavsky, A.A. - In: Physica A: Statistical Mechanics and its Applications 318 (2003) 3, pp. 469-474
In this paper, we consider a new mathematical extension of the Black–Scholes (BS) model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the directing process is inverse to the totally skewed,...