A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model
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Publication:501780
DOI10.4172/1736-4337.1000S2-006zbMath1371.91180MaRDI QIDQ501780
Publication date: 10 January 2017
Published in: Journal of Generalized Lie Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jglta/1479265225
Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) Symmetries of infinite-dimensional dissipative dynamical systems (37L20)
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