Optimal system of Lie group invariant solutions for the Asian option PDE (Q5199428): Difference between revisions

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+Keshlan S. Govinder
@@ Property / author: Keshlan S. Govinder / rank @@
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+John G. O'Hara
@@ Property / author: John G. O'Hara / rank @@
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+Mathematica
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+SYMMGRP
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+LIE
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+SYM
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+https://doi.org/10.1002/mma.1444
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+W2059343334
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+Q4349551
@@ Property / cites work: Q4349551 / rank @@
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@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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@@ Property / cites work @@
+Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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@@ Property / cites work @@
+SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
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+Q3715336
@@ Property / cites work: Q3715336 / rank @@
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@@ Property / cites work @@
+LIE, a PC program for Lie analysis of differential equations
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@@ Property / cites work @@
+Review of symbolic software for Lie symmetry analysis
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@@ Property / cites work @@
+A comparative study of some computer algebra packages which determine the Lie point symmetries of differential equations
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@@ Property / cites work @@
+Subalgebras of real three- and four-dimensional Lie algebras
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@@ Property / cites work @@
+Q4357207
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+Preliminary group classification of equations <i>v</i>                   <i>t</i>                   <i>t</i>=<i>f</i> (<i>x</i>,<i>v</i>                   <i>x</i>)<i>v</i>                   <i>x</i>                   <i>x</i>+<i>g</i>(<i>x</i>,<i>v</i>                   <i>x</i>)
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@@ Property / cites work @@
+Lie symmetry analysis of differential equations in finance
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@@ Property / cites work @@
+Q2782240
@@ Property / cites work: Q2782240 / rank @@
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@@ Property / cites work @@
+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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