Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach (Q1854159)

In the present paper, authors extended the Lie algebraic approach, introduced by \textit{C. F. Lo} and \textit{C. H. Hui} [Quant. Finance 1, 73--78 (2001)], to the valuation of financial derivatives involving multi-assets and stochastic interest rate. Based upon the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the method is able to derive analytical closed-form pricing formulae very straightforwardly.