Classes of elementary function solutions to the CEV model I

DOI10.1016/j.cam.2019.03.039zbMath1422.91715arXiv1804.07384OpenAlexW2962743537WikidataQ128060755 ScholiaQ128060755MaRDI QIDQ2315817

Evangelos Melas

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07384

zbMATH Keywords

closed-form solutionsCEV modelKovacic's algorithm

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• AS 231
• AS 275

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Note on Kovacic's algorithm
• On pricing lookback options under the CEV process
• Differential Galois theory and Lie symmetries
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• Lie theory: Applications to problems in mathematical finance and economics
• An algorithm for solving second order linear homogeneous differential equations
• Kovacic's algorithm and its application to some families of special functions
• Liouvillian and algebraic solutions of second and third order linear differential equations
• Necessary conditions for Liouvillian solutions of (third order) linear differential equations
• The Riccati equation in mathematical finance.
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• Lookback options and diffusion hitting times: a spectral expansion approach
• Liouvillian solutions of linear differential equations of order three and higher
• Algebraic matric groups and the Picard-Vessiot theory of homogeneous linear ordinary differential equations
• Lie symmetries and differential Galois groups of linear equations
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• A Bridge Between Lie Symmetries and Galois Groups
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Algorithm AS 231: The Distribution of a Noncentral Χ 2 Variable with Nonnegative Degrees of Freedom
• Liouvillian Solutions of n-th Order Homogeneous Linear Differential Equations
• On the Liouvillian solutions to the perturbation equations of the Schwarzschild black hole
• Computation of the Noncentral Gamma Distribution

This page was built for publication: Classes of elementary function solutions to the CEV model I