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  • Digitale Medien  (2)
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  • 2000-2004  (2)
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  • 2002  (2)
  • PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 05.20.-y Classical statistical mechanics – 05.30.-d Quantum statistical mechanics – 05.70.-a Thermodynamics  (1)
  • PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems  (1)
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  • Digitale Medien  (2)
  • AV-Medium
  • Buch
Erscheinungszeitraum
  • 2000-2004  (2)
  • 1975-1979
  • 1960-1964
  • 1955-1959
  • 1920-1924
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  • 2002  (2)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Nonextensive statistics and incomplete information (2002)
    Springer
    The European physical journal 26 (2002), S. 357-368 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 05.20.-y Classical statistical mechanics – 05.30.-d Quantum statistical mechanics – 05.70.-a Thermodynamics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We comment on some open questions and theoretical peculiarities in Tsallis nonextensive statistical mechanics. It is shown that the theoretical basis of the successful Tsallis' generalized exponential distribution shows some worrying properties with the conventional normalization and the escort probability. These theoretical difficulties may be avoided by introducing an so called incomplete normalization allowing to deduce Tsallis' generalized distribution in a more convincing and consistent way.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e20020100
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Efficient option pricing with path integral (2002)
    Springer
    The European physical journal 27 (2002), S. 249-255 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e20020147
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
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