Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
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Publication:1854159
DOI10.1155/S016117120211101XzbMath1068.91035OpenAlexW3125001063MaRDI QIDQ1854159
Publication date: 13 January 2003
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/51539
Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for second-order parabolic equations (35K15) Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65)
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