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Probability Tree Algorithm for General Diffusion Processes · Study

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PreprintProbability Tree Algorithm for General Diffusion Processes

Lester Ingber2001

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Preprintgreen2001

Probability Tree Algorithm for General Diffusion Processes

Lester Ingber · Colleen Chen · Radu Paul Mondescu · David Muzzall · Marco Renedo

26 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Mathematical functions and polynomials Numerical methods for differential equations

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References

1979Option pricing: A simplified approach 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 2008Mathematical Models of Financial Derivatives 1997The Complete Guide to Option Pricing Formulas 1990Statistical-mechanical aids to calculating term-structure models 1997Recent Advances in Numerical Methods for Pricing Derivative Securities 2000High-resolution path-integral development of financial options

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2017Options on Quantum Money: Quantum Path-Integral with Serial Shocks 2019Developing Bid-Ask Probabilities for High-Frequency Trading 2016Path-integral Quantum PATHTREE and PATHINT Algorithms

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1999High-Resolution Path-Integral Development of Financial Optionspreprint · 7 shared references 2008Adaptive lattice methods for multi-asset modelsarticle · 5 shared references 2002Real options in the forest: what if prices are mean-reverting?article · 4 shared references 2019Primal-dual active set method for pricing American better-of option on two assetsarticle · 4 shared references 2016Path-integral Quantum PATHTREE and PATHINT Algorithmspreprint · 4 shared references 1999Flexible and Risk-Sharing Supply Contracts Under Price Uncertaintyarticle · 3 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.263079

openalex_workW2019029199

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