High-resolution path-integral development of financial options

Physica A: Statistical Mechanics and its Applications

Volumn 283, Issue 3, 2000, Pages 529-558

  Ingber, Lester ^a,b  

^a Wacker Dr PO Sears Tower   (United States)

^b DRW Investments LLC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGEBRA; ALGORITHMS; CURVE FITTING; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; SIMULATED ANNEALING; STATISTICAL MECHANICS;

ADAPTIVE SIMULATED ANNEALING; BLACK-SCHOLES THEORY; EURODOLLAR; FINANCIAL OPTIONS; NON MONTE CARLO PATH INTEGRAL ALGORITHM; OPTION PRICING; PRICES; STOCHASTIC VOLATILITY;

SALES;

EID: 0034250895     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00229-6     Document Type: Article

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