Lie symmetry analysis of differential equations in finance

DOI10.1023/A:1008304132308zbMATH Open0929.35006OpenAlexW170161567MaRDI QIDQ1291867FDOQ1291867

Nail H. Ibragimov, R. K. Gazizov

Publication date: 17 January 2000

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008304132308

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zbMATH Keywords

invariant solutionfundamental solution of the Cauchy problemalgebras of classical symmetriesBlack-Schole equationgroup theoretical modelingJacobs-Jones equationLie group classification and symmetry analysis

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) Invariance and symmetry properties for PDEs on manifolds (58J70) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (91)

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• On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation
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• Lie symmetry analysis of two dimensional weakly singular integral equations
• Extended finite similitude and dimensional analysis for scaling
• Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
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• An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
• Invariance properties, exact and explicit solutions of time-fractional Gear-Grimshaw model
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• GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING
• Use of optimal subalgebra for the analysis of Lie symmetry, symmetry reductions, invariant solutions and conservation laws of the (3 + 1)-dimensional extended Sakovich equation
• Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
• Analyzing short-rate models for efficient bond option pricing: a review
• Symmetries and exact solutions of a nonlinear pricing options equation
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• An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
• Residual symmetry and interaction solutions of the \((2+1)\)-dimensional generalized Calogero-Bogoyavlenskii-Schiff equation
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• Symmetries of the Black-Scholes-Merton equation for European options
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• Equivalence and symmetries for variable coefficient linear heat type equations. I
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• Invariant solutions of the Black-Scholes equation
• Nonclassical symmetry analysis and heir-equations of forced Burger equation with time variable coefficients
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• Generalized uncorrelated SABR models with a high degree of symmetry
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• Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
• The Lie symmetry approach on (1+2)-dimensional financial models
• Variational contact symmetries of constrained Lagrangians
• Invariance properties of a general bond-pricing equation
• Symmetries, conservation laws and exact solutions of the time-fractional diffusivity equation via Riemann–Liouville and Caputo derivatives
• Lie theory: Applications to problems in mathematical finance and economics
• Ibragimov-type invariants for a system of two linear parabolic equations
• Lie and Noether point symmetries of a class of quasilinear systems of second-order differential equations
• Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• Option pricing: the reduced-form SDE model
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• Extension of Euler's method to parabolic equations
• Symmetry analysis of the option pricing model with dividend yield from financial markets
• Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
• Group classification of a class of equations arising in financial mathematics
• \(W\)-symmetries of jump-diffusion Itô stochastic differential equations
• Conservation laws for the Black-Scholes equation
• Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters
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• Lie symmetries of generalized Burgers equations: application to boundary-value problems
• An Evolutionary Approach to the Automatic Classification of Automorphisms of Lower-Dimensional Lie Algebras
• Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
• A reliable treatment of residual power series method for time-fractional Black-Scholes European option pricing equations
• Group classification of a generalized Black-Scholes-Merton equation
• Symmetry analysis of a model for the exercise of a barrier option
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
• A comparative study of some computer algebra packages which determine the Lie point symmetries of differential equations
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• A terminal condition in linear bond-pricing under symmetry invariance
• Symbolic computation and differential equations: Lie symmetries
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics
• On the generation of arbitrage-free stock price models using Lie symmetry analysis
• Symmetry of stochastic non-variational differential equations
• Conservation Laws for Self-Adjoint First-Order Evolution Equation
• Using Lie symmetry analysis to solve a problem that models mass transfer from a horizontal flat plate
• Lie symmetry analysis on pricing weather derivatives by partial differential equations
• Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
• Lie symmetry analysis for the general classes of generalized modified Kuramoto-Sivashinsky equation
• Group classification of a general bond-option pricing equation of mathematical finance
• Algebraic solution of the Stein-Stein model for stochastic volatility

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