On valuation of derivative securities: A Lie group analytical approach.

DOI10.1007/S10492-006-0004-ZzbMath1164.60359OpenAlexW2048230429WikidataQ115384222 ScholiaQ115384222MaRDI QIDQ954574

Hailiang Yang, Phillip S. C. Yam

Publication date: 24 November 2008

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/33243

zbMATH Keywords

Bessel equationsLie groupsinfinitesimal transformationspricing of derivative securities

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (1)

New analytical option pricing models with Weyl–Titchmarsh theory

Cites Work

• The Pricing of Options and Corporate Liabilities
• Black's consol rate conjecture
• Two singular diffusion problems
• Pricing Options With Curved Boundaries¹
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Backward Stochastic Differential Equations in Finance
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS

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