Hamiltonian and potentials in derivative pricing models: Exact results and lattice simulations

Physica A: Statistical Mechanics and its Applications

Volumn 334, Issue 3-4, 2004, Pages 531-557

  Baaquie, Belal E ^a   Corianò, Claudio ^b,c   Srikant, Marakani ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b UNIVERSITY OF SALENTO   (Italy)

^c UNIVERSITY OF CRETE   (Greece)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COMPUTER SIMULATION; CORRELATION METHODS; FINANCE; HAMILTONIANS; MONTE CARLO METHODS; QUANTUM THEORY; RANDOM PROCESSES; WHITE NOISE;

FINANCIAL SECURITIES;

INDUSTRIAL ECONOMICS;

EID: 0742302970     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2003.10.080     Document Type: Article

References (8)

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