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Probability Tree Algorithm for General Diffusion Processes
9 references·3 citing·32 second hop
Probability Tree Algorithm for General Diffusion Processes (2001)Probability Tree Algorithm for General Di…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…High-resolution path-integral development of financial options (2000)High-resolution path-integral…Volatility of volatility of financial markets (1999)Volatility of volatility of f…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Recent Advances in Numerical Methods for Pricing Derivative Securities (1997)Recent Advances in Numerical …Statistical-mechanical aids to calculating term-structure models (1990)Statistical-mechanical aids t…Option pricing: A simplified approach (1979)Option pricing: A simplified …Developing Bid-Ask Probabilities for High-Frequency Trading (2019)Developing Bid-Ask Probabilit…Options on Quantum Money: Quantum Path-Integral with Serial Shocks (2017)Options on Quantum Money: Qua…Path-integral Quantum PATHTREE and PATHINT Algorithms (2016)Path-integral Quantum PATHTRE…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)Application of statistical mechanics methodology to term-structure bond-pricing models (1991)Canonical Momenta Indicators of Financial Markets and Neocortical Eeg (1997)A hierarchical model of financial crashes (1998)The Pricing of Options and Corporate Liabilities (1973)A Newton method for American option pricing (2002)Theory of rational option pricing (2005)Finite-Element Methods (2012)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Quantum Black-Scholes Equation (2007)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Path Integral Way to Option Pricing (2014)How should a local regime-switching model be calibrated? (2017)The Behavior of Stock-Market Prices (1965)High-Resolution Path-Integral Development of Financial Options (1999)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Interest‐Rate Modelling (2014)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 1990Statistical-mechanical aids to calculating term-structure models94 cited
  • 1997Recent Advances in Numerical Methods for Pricing Derivative Securities60 cited
  • 2000High-resolution path-integral development of financial options46 cited
  • 1999Volatility of volatility of financial markets30 cited

Cited by

  • 2017Options on Quantum Money: Quantum Path-Integral with Serial Shocks24 cited
  • 2019Developing Bid-Ask Probabilities for High-Frequency Trading20 cited
  • 2016Path-integral Quantum PATHTREE and PATHINT Algorithms20 cited

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