Lie symmetry methods for local volatility models

DOI10.1016/j.spa.2019.10.009zbMath1444.60063OpenAlexW3021653376WikidataQ126864898 ScholiaQ126864898MaRDI QIDQ2175338

Martino Grasselli, Mark Craddock

Publication date: 29 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/QFR-rp377.pdf

zbMATH Keywords

fundamental solutionhitting timesLie symmetriesPDEslocal volatility modelsnormal quadratic volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Geometric theory, characteristics, transformations in context of PDEs (35A30) Symmetries, invariants, etc. in context of PDEs (35B06)

Related Items (1)

EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE

Uses Software

• SYM

Cites Work

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