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Fractional calculus and continuous-time finance

Published:2000-09 Issue:1-4 Volume:284 Page:376-384
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Scalas Enrico,Gorenflo Rudolf,Mainardi Francesco

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference32 articles.

1. L.J.B. Bachelier, Theorie de la Speculation, Gauthier-Villars, Paris, 1900 (reprinted in 1995, Editions Jaques Gabay, Paris, 1995).

2. The Random Character of Stock Market Prices;Cootner (Ed.),1964

3. Continuous Time Finance;Merton,1990

4. The Variation of Certain Speculative Prices

5. Théorie de l'Addition des Variables Aléatoires;Lévy,1937

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