Optimal system of Lie group invariant solutions for the Asian option PDE
From MaRDI portal
Publication:5199428
DOI10.1002/mma.1444zbMath1222.91057MaRDI QIDQ5199428
N. C. Caister, John G. O'Hara, Keshlan S. Govinder
Publication date: 16 August 2011
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.1444
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
35B06: Symmetries, invariants, etc. in context of PDEs
Related Items
Kawahara equation and modified Kawahara equation with time dependent coefficients: symmetry analysis and generalized ‐expansion method, Solving a nonlinear PDE that prices real options using utility based pricing methods, Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A comparative study of some computer algebra packages which determine the Lie point symmetries of differential equations
- Lie symmetry analysis of differential equations in finance
- Review of symbolic software for Lie symmetry analysis
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Preliminary group classification of equations v t t=f (x,v x)v x x+g(x,v x)
- Subalgebras of real three- and four-dimensional Lie algebras
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- LIE, a PC program for Lie analysis of differential equations