2016/04/05 by Juan M. Romero, Romero, Juan M., Ilse B. Zubieta-Mart 'inez +2
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1604.01447
9 pages, no figures
arxiv created 2016/04/05 · openalex publication_date 2016/04/05 · arxiv updated 2016/04/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Employing the Klein-Gordon equation, we propose a generalized Black-Scholes equation. In addition, we found a limit where this generalized equation is invariant under conformal transformations, in particular invariant under scale transformations. In this limit, we show that the stock prices distribution is given by a Cauchy distribution, instead of a normal distribution.