Binomial trees as dynamical systems

DOI10.1016/S0378-4371(00)00490-8MaRDI QIDQ1841409zbMATH OpenOpenAlexFDO

Authors Yanyan Li, Roza Galeeva

Publication date 27 February 2001

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(00)00490-8

zbMATH Keywords

discrete option pricing modelsmultifractal invariant set analysisthermodynamical formalism

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Existence and genericity problems for dynamical systems with nonzero Lyapunov exponents
• scientific article; zbMATH DE number 3622081 (Why is no real title available?)
• scientific article; zbMATH DE number 1009444 (Why is no real title available?)
• scientific article; zbMATH DE number 3998137 (Why is no real title available?)
• scientific article; zbMATH DE number 3079993 (Why is no real title available?)
• Option pricing: A simplified approach
• Statistical mechanics of a one-dimensional lattice gas
• The central limit theorem for geodesic flows on n-dimensional manifolds of negative curvature
• Zeta-functions and transfer-operators for piecewise linear transformations.

Cited in

(1)

• Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density

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