Lie symmetry analysis of a first-order feedback model of option pricing

DOI10.1155/2015/361785zbMath1341.35168OpenAlexW1519101055WikidataQ59102467 ScholiaQ59102467MaRDI QIDQ277917

Tembinkosi F. Nkalashe, Winter Sinkala

Publication date: 2 May 2016

Published in: Advances in Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/361785

zbMATH Keywords

Black-Scholes equationLie symmetry analysisfeddback

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Lie symmetry analysis, exact solutions, and conservation laws of variable-coefficients Boiti-Leon-Pempinelli equation

Uses Software

• Mathematica
• LIE
• SPDE

Cites Work

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• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
• Symmetries and differential equations
• Stochastic differential equations. An introduction with applications.
• LIE, a PC program for Lie analysis of differential equations

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