Optimal system of Lie group invariant solutions for the Asian option PDE
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Publication:5199428
DOI10.1002/mma.1444zbMath1222.91057OpenAlexW2059343334MaRDI QIDQ5199428
N. C. Caister, John G. O'Hara, Keshlan S. Govinder
Publication date: 16 August 2011
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.1444
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Symmetries, invariants, etc. in context of PDEs (35B06)
Related Items (3)
Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters ⋮ Kawahara equation and modified Kawahara equation with time dependent coefficients: symmetry analysis and generalized ‐expansion method ⋮ Solving a nonlinear PDE that prices real options using utility based pricing methods
Uses Software
Cites Work
- A comparative study of some computer algebra packages which determine the Lie point symmetries of differential equations
- Lie symmetry analysis of differential equations in finance
- Review of symbolic software for Lie symmetry analysis
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Preliminary group classification of equations v t t=f (x,v x)v x x+g(x,v x)
- Subalgebras of real three- and four-dimensional Lie algebras
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- LIE, a PC program for Lie analysis of differential equations
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