Lie symmetry methods for local volatility models

DOI10.1016/J.SPA.2019.10.009zbMATH Open1444.60063OpenAlexW3021653376WikidataQ126864898 ScholiaQ126864898MaRDI QIDQ2175338FDOQ2175338

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

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zbMATH Keywords

hitting timesfundamental solutionLie 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)

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Cited In (4)

• Solvable local and stochastic volatility models: supersymmetric methods in option pricing
• The Lie symmetry approach on (1+2)-dimensional financial models
• EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE
• Lie symmetry analysis on pricing weather derivatives by partial differential equations

Uses Software

• SYM

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