Invariant approaches to equations of finance

DOI10.3390/MCA18030244MaRDI QIDQ1649232zbMATH OpenOpenAlexFDO

Authors Y. Aharonov

Publication date 5 July 2018

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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

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