Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach (Q1854159)
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scientific article; zbMATH DE number 1852895
| Language | Label | Description | Also known as |
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| English | Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach |
scientific article; zbMATH DE number 1852895 |
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Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach (English)
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13 January 2003
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In the present paper, authors extended the Lie algebraic approach, introduced by \textit{C. F. Lo} and \textit{C. H. Hui} [Quant. Finance 1, 73--78 (2001)], to the valuation of financial derivatives involving multi-assets and stochastic interest rate. Based upon the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the method is able to derive analytical closed-form pricing formulae very straightforwardly.
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Lie algebraic method
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multi-asset financial derivatives
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time-dependent parameters
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