Invariant approaches to equations of finance

DOI10.3390/mca18030244zbMath1390.91305OpenAlexW2301035982MaRDI QIDQ1649232

Y. Aharonov

Publication date: 5 July 2018

Published in: Mathematical \& Computational Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/mca18030244

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Closed-form solutions via the invariant approach for one-factor commodity models ⋮ A terminal condition in linear bond-pricing under symmetry invariance ⋮ Enhanced group analysis of a semi linear generalization of a general bond-pricing equation ⋮ Group classification of a general bond-option pricing equation of mathematical finance

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