Jan Korbel
TitleCited byYear
Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
H Kleinert, J Korbel
Physica A: Statistical Mechanics and its Applications 449, 200-214, 2016
352016
Modeling of financial processes with a space-time fractional diffusion equation of varying order
J Korbel, Y Luchko
Fractional Calculus and Applied Analysis 19 (6), 1414-1433, 2016
242016
Multifractal diffusion entropy analysis: Optimal bin width of probability histograms
P Jizba, J Korbel
Physica A: Statistical Mechanics and its Applications 413, 438-458, 2014
242014
Point Information Gain and Multidimensional Data Analysis
R Rychtáriková, J Korbel, P Macháček, P Císař, J Urban, D Štys
Entropy 2016, 18(10), 372, 2016
18*2016
On q-Non-extensive Statistics with Non-Tsallisian Entropy
P Jizba, J Korbel
Physica A: Statistical Mechanics and its Applications 444, 808-827, 2016
182016
Maximum Entropy Principle in statistical inference: case for non-Shannonian entropies
P Jizba, J Korbel
Physical Review Letters 122, 120601, 2019
102019
Classification of complex systems by their sample-space scaling exponents
J Korbel, R Hanel, S Thurner
New Journal od Physics 20, 093007, 2018
72018
On Statistical Properties of Jizba-Arimitsu Hybrid Entropy
MN Çankaya, J Korbel
Physica A: Statistical Mechanics and its Applications 475, 1-10, 2017
72017
Methods and techniques for multifractal spectrum estimation in financial time series
P Jizba, J Korbel
Proceedings ASMDA, 2013
62013
Rescaling the nonadditivity parameter in Tsallis thermostatistics
J Korbel
Physics Letters A 381 (32), 2588–2592, 2017
52017
Tsallis thermostatics as a statistical physics of random chains
P Jizba, J Korbel, V Zatloukal
Physical Review E 95, 022103, 2017
52017
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
JP Aguilar, C Coste, J Korbel
Fractional Calculus and Applied Analysis 21 (4), 981-1004, 2018
42018
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
JP Aguilar, J Korbel
Fractal and Fractional 2 (1), 15, 2018
42018
Transition between superstatistical regimes: validity, breakdown and applications
P Jizba, J Korbel, H Lavička, M Prokš, V Svoboda, C Beck
Physica A 493, 29-46, 2018
42018
On the uniqueness theorem for pseudo-additive entropies
P Jizba, J Korbel
Entropy 19 (11), 605, 2017
42017
Remarks on “Comments on ‘On q-non-extensive statistics with non-Tsallisian entropy’”[Physica A 466 (2017) 160]
P Jizba, J Korbel
Physica A: Statistical Mechanics and its Applications 468, 238-243, 2017
42017
Modeling financial time series: multifractal cascades and Rényi entropy
P Jizba, J Korbel
ISCS 2013: Interdisciplinary Symposium on Complex Systems, 227-236, 2014
42014
Least informative distributions in maximum q-log-likelihood estimation
MN Çankaya, J Korbel
Physica A: Statistical Mechanics and its Applications 509, 140-150, 2018
22018
Point Divergence Gain and Multidimensional Data Sequences Analysis
R Rychtáriková, J Korbel, P Macháček, D Štys
Entropy 20 (2), 106, 2018
22018
Non-Gaussian analytic option pricing: a closed formula for the Lévy-stable model
JP Aguilar, CG Coste, J Korbel
Available at SSRN 2828673, 2017
22017
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Articles 1–20