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Risk and complex fractals in finance: application to a Black - Scholes equation of order n
Jumarie G. Systems Analysis Modelling Simulation42 (1):1-22,2002.Type:Article
Date Reviewed: May 28 2003

The applied problem in this well-written paper is risk and complex fractals in finance. The math portion centers around the Black-Scholes equation of order n. The author begins by introducing fractals in finance a la Mandelbrot, and he bases his arguments on a simple model for a random walk in the complex plane. That is needed for the essential term that is part of his stochastic differential equation, a Black-Scholes equation of order n, with a white noise term. He solves the equation in the real case, using the algorithm developed with the complex random walk method introduced early in the paper.

Reviewer:  Palle Jorgensen Review #: CR127663 (0309-0913)
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Applications (G.1.10 )
 
 
Economics (J.4 ... )
 
 
Stochastic Processes (G.3 ... )
 
 
Wavelets And Fractals (G.1.2 ... )
 
 
Probability And Statistics (G.3 )
 
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