Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

DOI10.1080/713665552zbMath1405.91637OpenAlexW3124360094MaRDI QIDQ4646465

Chi-Fai Lo, Cho-Hoi Hui

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1080/713665552

zbMATH Keywords

pricing of financial derivativesWei-Norman theoremLie-algebraic technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Lie algebras of linear algebraic groups (17B45)

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