Symmetry methods for option pricing

DOI10.1016/j.cnsns.2016.12.011OpenAlexW2560221563MaRDI QIDQ2005268

A. H. Davison, S. Mamba

Publication date: 7 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.12.011

zbMATH Keywords

boundary value problemsLie symmetries

Mathematics Subject Classification ID

Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65)

Related Items (3)

A terminal condition in linear bond-pricing under symmetry invariance ⋮ Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation ⋮ Unnamed Item

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Lie symmetries of nonlinear boundary value problems
• Variational principles for second-order quasi-linear scalar equations
• Non-linear diffusion of an axisymmetric thin liquid drop: group-invariant solution and conservation law
• Symmetry and explicit solutions of partial differential equations
• Lie symmetry analysis of differential equations in finance
• Nonclassical symmetry reductions of the Boussinesq equation
• Symmetry analysis of a model for the exercise of a barrier option
• Symmetry analysis of nonlinear heat and mass transfer equations under Soret effect
• Applications of the general similarity solution of the heat equation to boundary-value problems
• Noninvariant Boundary Conditions

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