Algebraic structure of vector fields in financial diffusion models and its applications

DOI10.1080/14697688.2016.1264618zbMath1402.91805arXiv1510.02013OpenAlexW1837342269MaRDI QIDQ4555127

Makiko Sasada, Yusuke Morimoto

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.02013

zbMATH Keywords

option pricingLie algebraHeston modelcomputational financeSABR model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Lie algebras and Lie superalgebras (17B99)

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Cites Work

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