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  • Digitale Medien  (2)
  • AV-Medium
  • 2000-2004  (2)
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  • 1955-1959
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  • 2002  (2)
  • PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems  (1)
  • PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 05.60.-k Transport processes  (1)
Materialart
  • Digitale Medien  (2)
  • AV-Medium
Erscheinungszeitraum
  • 2000-2004  (2)
  • 1960-1964
  • 1955-1959
  • 1920-1924
  • 1910-1914
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Jahr
  • 2002  (2)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Springer
    The European physical journal 27 (2002), S. 249-255 
    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
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Springer
    The European physical journal 28 (2002), S. 441-450 
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 05.60.-k Transport processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We investigate random walks on a lattice with imperfect traps. In one dimension, we perturbatively compute the survival probability by reducing the problem to a particle diffusing on a closed ring containing just one single trap. Numerical simulations reveal this solution, which is exact in the limit of perfect traps, to be remarkably robust with respect to a significant lowering of the trapping probability. We demonstrate that for randomly distributed traps, the long-time asymptotics of our result recovers the known stretched exponential decay. We also study an anisotropic three-dimensional version of our model. We discuss possible applications of some of our findings to the decay of excitons in semiconducting organic polymer materials, and emphasize the crucial influence of the spatial trap distribution on the kinetics.
    Materialart: Digitale Medien
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
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