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FIZIKA A 19 (2010) 1 , 11-30
 
APPLICATION OF THE FRACTIONAL PROBLEM OF THE CALCULUS OF VARIATIONS AND THE
FRACTIONAL PATH INTEGRAL APPROACH TO STOCHASTIC MODELING
R. A. EL-NABULSI
Department of Nuclear and Energy Engineering, Cheju National University, Ara-dong 1, Jeju 690-756, South Korea
E-mail address: [email protected]
Received 30 March 2009; Revised manuscript received 27 January 2010
Accepted 3 March 2010 Online 6 April 2010
The fractional path integral approach is applied to stochastic models, in
particular the financial derivatives and options pricing formulated within the
framework of the fractional action-like variational approach recently introduced
by the author. Many interesting features and consequences are revealed in some
details.
PACS numbers: 02.50.Ey, 45.10.Hj
UDC 530.162
Keywords: fractional path integral, options pricing, financial modeling,
stochastic models
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