Invariant approaches to equations of finance

DOI10.3390/MCA18030244zbMATH Open1390.91305OpenAlexW2301035982MaRDI QIDQ1649232FDOQ1649232

Authors: 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

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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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• A simple equation solver and its application to financial modelling
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• A terminal condition in linear bond-pricing under symmetry invariance
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