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Linking agent-based models and stochastic models of financial markets

✍ Scribed by Feng, L.; Li, B.; Podobnik, B.; Preis, T.; Stanley, H. E.

Book ID
115461115
Publisher
National Academy of Sciences
Year
2012
Tongue
English
Weight
762 KB
Volume
109
Category
Article
ISSN
0027-8424

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Numerical treatment of stochastic models
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✍ Ameen Alawneh; Kamel Al-Khaled πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 1021 KB

In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker-Planck equation for non-equilibrium statistical systems and the Black-Scholes model for pricing s