Solving a nonlinear PDE that prices real options using utility based pricing methods

DOI10.1016/J.NONRWA.2011.02.015zbMath1231.91469OpenAlexW1986847634MaRDI QIDQ546201

Keshlan S. Govinder, N. C. Caister, John G. O'Hara

Publication date: 24 June 2011

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2011.02.015

zbMATH Keywords

real optionsLie symmetriesfinancial mathematicsinvariant group solutionsutility pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters ⋮ Option pricing: the reduced-form SDE model ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model

Uses Software

• LIE

Cites Work

• Unnamed Item
• Unnamed Item
• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• Valuing the option to invest in an incomplete market
• A note on the integrability of the classical portfolio selection model
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Lie symmetry analysis of differential equations in finance
• Review of symbolic software for Lie symmetry analysis
• Real options with constant relative risk aversion
• Fundamental solutions for zero-coupon bond pricing models
• Singular invariant equation for the (1+1) Fokker–Planck equation
• A Theory of the Term Structure of Interest Rates
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
• Optimal system of Lie group invariant solutions for the Asian option PDE
• Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
• Symmetries and differential equations
• LIE, a PC program for Lie analysis of differential equations

This page was built for publication: Solving a nonlinear PDE that prices real options using utility based pricing methods