Binomial trees as dynamical systems

DOI10.1016/S0378-4371(00)00490-8zbMath0972.91048OpenAlexW2073858620MaRDI QIDQ1841409

Yanyan Li

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

thermodynamical formalismdiscrete option pricing modelsmultifractal invariant set analysis

Mathematics Subject Classification ID

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

Cites Work

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• Option pricing: A simplified approach