Path integral Monte Carlo method and maximum entropy: a complete solution for the derivative valuation problem

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn , Issue , 1996, Pages 112-113

  Makivic, Miloje S ^a  

^a SYRACUSE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; INTEGRAL EQUATIONS; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARALLEL PROCESSING SYSTEMS; PROBABILITY; SUPERCOMPUTERS;

DERIVATIVE SECURITIES; DERIVATIVE VALUATION; MAXIMUM ENTROPY; PATH INTEGRAL; PROPAGATOR;

PROBLEM SOLVING;

EID: 0030417062     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/cifer.1996.501833     Document Type: Conference Paper

References (0)