SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

DOI10.1142/S0219024910006194zbMath1203.91285MaRDI QIDQ3067163

N. C. Caister, Keshlan S. Govinder, John G. O'Hara

Publication date: 20 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

mappingsanalytical solutioninverse Laplace transformreductionsLie symmetriesAsian option PDE

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Lie symmetry analysis of a first-order feedback model of option pricing ⋮ Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters ⋮ Option pricing: the reduced-form SDE model ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Using Lie symmetry analysis to solve a problem that models mass transfer from a horizontal flat plate ⋮ Unnamed Item ⋮ Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility ⋮ Solving a nonlinear PDE that prices real options using utility based pricing methods ⋮ Optimal system of Lie group invariant solutions for the Asian option PDE

Uses Software

• SYM

Cites Work

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• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• Invariance properties of a general bond-pricing equation
• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• Lie symmetry analysis of differential equations in finance
• A NOVEL REDUCTION OF THE SIMPLE ASIAN OPTION AND LIE-GROUP INVARIANT SOLUTIONS
• Subalgebras of real three- and four-dimensional Lie algebras
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Risk based capital for guaranteed minimum withdrawal benefit
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options

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