Symmetry methods for option pricing

DOI10.1016/J.CNSNS.2016.12.011MaRDI QIDQ2005268zbMATH OpenOpenAlexFDO

Authors A. H. Davison, S. Mamba

Publication date 7 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2016.12.011

zbMATH Keywords

boundary value problemsLie symmetries

Mathematics Subject Classification ID

Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65)

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Cites work

• Applications of the general similarity solution of the heat equation to boundary-value problems
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• scientific article; zbMATH DE number 1414330 (Why is no real title available?)
• scientific article; zbMATH DE number 5681750 (Why is no real title available?)
• Lie symmetries of nonlinear boundary value problems
• Lie symmetry analysis of differential equations in finance
• Non-linear diffusion of an axisymmetric thin liquid drop: group-invariant solution and conservation law
• Nonclassical symmetry reductions of the Boussinesq equation
• Noninvariant Boundary Conditions
• Symmetry analysis of a model for the exercise of a barrier option
• Symmetry analysis of nonlinear heat and mass transfer equations under Soret effect
• Symmetry and explicit solutions of partial differential equations
• The pricing of options and corporate liabilities
• Variational principles for second-order quasi-linear scalar equations

Cited in

(6)

• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
• Option pricing for symmetric Lévy returns with applications
• Symmetry Breaking for Black–Scholes Equations
• A terminal condition in linear bond-pricing under symmetry invariance
• scientific article; zbMATH DE number 7727662 (Why is no real title available?)
• European option pricing formula in risk-averse markets based on the risk measure of VaR

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