Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations
Hagen Kleinert
TL;DR
This paper develops a new stochastic calculus framework tailored for asset price models exhibiting non-Gaussian fluctuations, extending traditional Ito calculus.
Contribution
It introduces a stochastic calculus based on path integral formalism to handle non-Gaussian asset price fluctuations, providing a novel mathematical tool.
Findings
Derived a new stochastic calculus for non-Gaussian processes
Extended path integral formalism to financial modeling
Provides a foundation for more accurate asset price modeling
Abstract
From the path integral formalism for price fluctuations with non-Gaussian distributions I derive the appropriate stochastic calculus replacing Ito's calculus for stochastic fluctuations.
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