On the generation of arbitrage-free stock price models using Lie symmetry analysis

DOI10.1016/J.CAMWA.2016.07.003zbMath1357.91048OpenAlexW2491648915MaRDI QIDQ516692

Winter Sinkala

Publication date: 15 March 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.07.003

zbMATH Keywords

invariant solutionsLie symmetriesBlack-Scholes formulaEuropean call optionarbitrage-free

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Dynamical systems in optimization and economics (37N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

New candidates for arbitrage-free stock price models via generalized conditional symmetry method

Uses Software

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• YaLie

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Applications of symmetry methods to partial differential equations
• Lie symmetry analysis of differential equations in finance
• Symmetry analysis of differential equations with MATHEMATICA
• ARBITRAGE-FREE OPTION PRICING MODELS
• CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
• Symmetry-based algorithms to relate partial differential equations: I. Local symmetries

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