Solving a nonlinear PDE that prices real options using utility based pricing methods (Q546201): Difference between revisions

@@ Property / DOI @@
-.1016/j.nonrwa.2011.02.015
@@ Property / DOI: 10.1016/j.nonrwa.2011.02.015 / rank @@
-Normal rank
@@ Property / author @@
+John G. O'Hara
@@ Property / author: John G. O'Hara / rank @@
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@@ Property / describes a project that uses @@
+LIE
@@ Property / describes a project that uses: LIE / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.nonrwa.2011.02.015
+Normal rank
@@ Property / OpenAlex ID @@
+W1986847634
@@ Property / OpenAlex ID: W1986847634 / rank @@
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@@ Property / cites work @@
+Symmetries and differential equations
@@ Property / cites work: Symmetries and differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Real options with constant relative risk aversion
@@ Property / cites work: Real options with constant relative risk aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Lie symmetry analysis of differential equations in finance
+Normal rank
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+Fundamental solutions for zero-coupon bond pricing models
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+Singular invariant equation for the (1<b>+</b>1) Fokker–Planck equation
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+Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
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+SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
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+A note on the integrability of the classical portfolio selection model
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+Valuing the option to invest in an incomplete market
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+Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Q4357207
@@ Property / cites work: Q4357207 / rank @@
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@@ Property / cites work @@
+Q3715336
@@ Property / cites work: Q3715336 / rank @@
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@@ Property / cites work @@
+Review of symbolic software for Lie symmetry analysis
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@@ Property / cites work @@
+LIE, a PC program for Lie analysis of differential equations
+Normal rank
@@ Property / cites work @@
+Optimal system of Lie group invariant solutions for the Asian option PDE
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@@ Property / DOI @@
+.1016/J.NONRWA.2011.02.015
@@ Property / DOI: 10.1016/J.NONRWA.2011.02.015 / rank @@
+Normal rank