scientific article; zbMATH DE number 1064802

MaRDI QIDQ4356149zbMATH OpenFDO

Authors Mauro Pagliacci

Publication date 23 September 1997

zbMATH Keywords

diffusion processes on homogeneous treesfinancial optionsheat equation

Mathematics Subject Classification ID

Trees (05C05) Analysis on other specific Lie groups (43A80) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Recommendations

• Stochastic calculus and martingales on trees
• Derivatives of diffusions with applications in finance
• Diffusion approximation of Lévy processes with a view towards finance
• Generalized hyperbolic diffusion processes with applications in finance
• scientific article; zbMATH DE number 1331824
• scientific article; zbMATH DE number 1754702
• Functionals of multidimensional diffusions with applications to finance
• Polynomial diffusions and applications in finance

Cited in

(4)

• Multiplication operators between the Lipschitz space and the space of bounded functions on a tree
• Binomial trees as dynamical systems
• Forests, cumulants, martingales
• Building recombining trinomial trees for time-homogeneous diffusion processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4356149)