Algebraic solution of the Stein-Stein model for stochastic volatility (Q718482): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: SYM / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cnsns.2010.08.008 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2041580863 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the systematic approach to the classification of differential equations by group theoretical methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lie symmetry analysis of differential equations in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Berry's phase and wavefunctions for time-dependent Hamilton systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Symmetry-based solution of a model for a combination of a risky investment and a riskless investment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Invariance properties of a general bond-pricing equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Algebraic properties of evolution partial differential equations modelling prices of commodities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank

Latest revision as of 12:05, 4 July 2024

scientific article
Language Label Description Also known as
English
Algebraic solution of the Stein-Stein model for stochastic volatility
scientific article

    Statements

    Algebraic solution of the Stein-Stein model for stochastic volatility (English)
    0 references
    0 references
    23 September 2011
    0 references
    0 references
    symmetry analysis
    0 references
    similarity solutions
    0 references
    stochastic processes
    0 references
    nonlinear evolution equations
    0 references
    0 references