On valuation of derivative securities: A Lie group analytical approach.
type: Item
instance of: scholarly article
title: On valuation of derivative securities: A Lie group analytical approach.
zbMATH Open document ID: 1164.60359
author: Phillip S. C. Yam
author: Hailiang Yang
published in: Applications of Mathematics
publication date: 2008-11-24T00:00:00Z
full work available at URL: https://eudml.org/doc/33243
full work available at URL: http://hdl.handle.net/10338.dmlcz/134629
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5371825
zbMATH Keywords: Lie groups
zbMATH Keywords: infinitesimal transformations
zbMATH Keywords: pricing of derivative securities
zbMATH Keywords: Bessel equations
MaRDI profile type: Publication
OpenAlex ID: W2048230429
Wikidata QID: Q115384222
cites work: The pricing of options and corporate liabilities
cites work: Black's consol rate conjecture
cites work: Backward Stochastic Differential Equations in Finance
cites work: Two singular diffusion problems
cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
cites work: Pricing Options With Curved Boundaries1
cites work: CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
DOI: 10.1007/S10492-006-0004-Z
description: scientific article; zbMATH DE number 5371825