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 @@
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+W1986847634
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+Symmetries and differential equations
@@ Property / cites work: Symmetries and differential equations / rank @@
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@@ Property / cites work @@
+Real options with constant relative risk aversion
@@ Property / cites work: Real options with constant relative risk aversion / rank @@
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@@ Property / cites work @@
+Lie symmetry analysis of differential equations in finance
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+SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
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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
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Q4357207
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@@ Property / cites work @@
+Q3715336
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+Review of symbolic software for Lie symmetry analysis
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+LIE, a PC program for Lie analysis of differential equations
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+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 @@
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