276 citations · 600 across the 11 of their papers we have counts for
4 papers · 1 filter
Nonextensive statistical mechanics and economics
Constantino Tsallis, Celia Anteneodo, Lisa Borland +1
Ergodicity, this is to say, dynamics whose time averages coincide with ensemble averages, naturally leads to Boltzmann-Gibbs (BG) statistical mechanics, hence to standard thermodyn…
A Theory of Non_Gaussian Option Pricing
Lisa Borland
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes t…
Option Pricing Formulas based on a non-Gaussian Stock Price Model
Lisa Borland
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter . A generalized…
Escape time in anomalous diffusive media
E. K. Lenzi, C. Anteneodo, L. Borland
We investigate the escape behavior of systems governed by the one-dimensional nonlinear diffusion equation , where the…