The paper re-derives Geometric Brownian Motion, the Fokker-Planck equation, and the Black-Scholes-Merton equation as consequences of maximum-entropy inference with scale invariance, continuity, and a drift constraint.
Entropic Inference and the Foundations of Physics ; Brazilian Chapter of the International Society for Bayesian Analysis-ISBrA: Sao Paulo, Brazil, 2012
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PR 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Entropic Dynamics of Stocks and European Options
The paper re-derives Geometric Brownian Motion, the Fokker-Planck equation, and the Black-Scholes-Merton equation as consequences of maximum-entropy inference with scale invariance, continuity, and a drift constraint.