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Probability tree algorithm for general diffusion processes

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Author Info

  • L. Ingber

    ()

  • C. Chen
  • R.P. Mondescu
  • D. Muzzall
  • M. Renedo

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File URL: http://www.ingber.com/path01_pathtree.pdf
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Bibliographic Info

Paper provided by Lester Ingber in its series Lester Ingber Papers with number 01pt.

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Date of creation: 2001
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Handle: RePEc:lei:ingber:01pt

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References

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  1. L. Ingber & R. Srinivasan & P.L. Nunez, 1996. "Path-integral evolution of chaos embedded in noise: Duffing neocortical analog," Lester Ingber Papers 96pi, Lester Ingber.
  2. L. Ingber, 1995. "Path-integral evolution of multivariate systems with moderate noise," Lester Ingber Papers 95pe, Lester Ingber.
  3. Lester Ingber, 2000. "High-resolution path-integral development of financial options," Papers physics/0001048, arXiv.org.
  4. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
  5. L. Ingber & P.L. Nunez, 1995. "Statistical mechanics of neocortical interactions: High resolution path-integral calculation of short-term memory," Lester Ingber Papers 95ni, Lester Ingber.
  6. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  7. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
  8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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Citations

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Cited by:
  1. L. Ingber, 2011. "Computational algorithms derived from multiple scales of neocortical processing," Lester Ingber Papers 11ca, Lester Ingber.
  2. repec:lei:ingber:13ef is not listed on IDEAS
  3. L. Ingber, 2010. "Real Options for Project Schedules (ROPS)," Lester Ingber Papers 10ro, Lester Ingber.
  4. L. Ingber, 2012. "Influence of macrocolumnar EEG on Ca waves," Lester Ingber Papers 12im, Lester Ingber.
  5. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
  6. L. Ingber, 2009. "Statistical mechanics of neocortical interactions: Nonlinear columnar electroencephalography," Lester Ingber Papers 09nc, Lester Ingber.
  7. L. Ingber, 2012. "Columnar EEG magnetic influences on molecular development of short-term memory," Lester Ingber Papers 12ce, Lester Ingber.

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