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From: Deane Yang (deane_yang_at_[hidden])
Date: 2007-02-09 17:33:51

The notion of "volatility" of a stochastic process is used throughout
finance for measuring the value of an option and has units equal to time
raised to the -1/2 power. It has an analogue in physics that might be
called a heat conduction coefficient or diffusion coefficient (apologies
to physicists for making up my own terminology), because it corresponds
to the coefficient c in the heat equation

u_t = c^2 u_xx

I currently use my own homegrown units template library and implemented
+/-(1/2) powers.


Andreas Harnack wrote:
> Martin Bonner wrote:
>> How would you deal with fractional powers of units? (The subject came
>> up in the pqs/quan review, and it was clear they were significant to
>> some people).
> Yes, I've seen such comments too, but I couldn't find a posting
> explaining in which context it's needed. Do you have a reference by any
> chance?
> Andreas
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