Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics

DOI10.1142/S1402925109000339zbMath1362.35310OpenAlexW2066814116WikidataQ115244644 ScholiaQ115244644MaRDI QIDQ5737645

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Publication date: 30 May 2017

Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s1402925109000339

zbMATH Keywords

Black-Scholes equationfinancial mathematicsCox-Ingersoll-Ross equationLie remarkabilitymodern group analysis

Mathematics Subject Classification ID

Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (13)

The effects of symmetry-breaking functions on the Ermakov-Pinney equation ⋮ Group classification of a generalization of the Heath equation ⋮ Group classification of a class of equations arising in financial mathematics ⋮ Symmetries and analytical solutions of the Hamilton–Jacobi–Bellman equation for a class of optimal control problems ⋮ Enhanced group analysis of a semi linear generalization of a general bond-pricing equation ⋮ Group classification of a general bond-option pricing equation of mathematical finance ⋮ Derivatives of differential sequences ⋮ Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Properties of the Calogero-Degasperis-Ibragimov-Shabat differential sequence ⋮ Symmetry analysis of a model of stochastic volatility with time-dependent parameters ⋮ Algebraic solution of the Stein-Stein model for stochastic volatility ⋮ Symmetry analysis of a model for the exercise of a barrier option ⋮ Group classification of a generalized Black-Scholes-Merton equation

Cites Work

• Autonomous self-similar ordinary differential equations and the Painlevé connection
• Similarity methods for differential equations
• Some Group Theoretical Aspects of Nonlinear Quantal Oscillators
• Symmetries and differential equations

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