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

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Handle: RePEc:lei:ingber:01pt

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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. L. Ingber, . "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  3. L. Ingber & J.K. Wilson, . "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber. [Downloadable!]
  4. L. Ingber, . "Path-integral evolution of multivariate systems with moderate noise," Lester Ingber Papers 95pp, Lester Ingber. [Downloadable!]
  5. L. Ingber, . "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  6. Lester Ingber, 2000. "High-resolution path-integral development of financial options," Quantitative Finance Papers physics/0001048, arXiv.org. [Downloadable!]
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  7. L. Ingber & R. Srinivasan & P.L. Nunez, . "Path-integral evolution of chaos embedded in noise: Duffing neocortical analog," Lester Ingber Papers 96pi, Lester Ingber. [Downloadable!]
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  1. L. Ingber, . "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber. [Downloadable!]
  2. L. Ingber, . "Real Options for Project Schedules (ROPS)," Lester Ingber Papers 07ro, Lester Ingber. [Downloadable!]
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This page was last updated on 2009-12-12.

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