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
fundamental solutionhitting timesLie symmetriesPDEslocal volatility modelsnormal quadratic volatility model
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)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Option pricing with quadratic volatility: a revisit
- Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
- New solvable stochastic volatility models for pricing volatility derivatives
- Generating integrable one dimensional driftless diffusions
- Lie group symmetries as integral transforms of fundamental solutions
- On the equivalence of Lie symmetries and group representations
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- Fundamental solutions, transition densities and the integration of Lie symmetries
- New solutions to the bond-pricing equation via Lie's classical method
- Symmetry group methods for fundamental solutions
- Functionals of multidimensional diffusions with applications to finance
- New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
- STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
- Why Are Quadratic Normal Volatility Models Analytically Tractable?
- Fourier type transforms on Lie symmetry groups
- Generalized uncorrelated SABR models with a high degree of symmetry
- On the Transformation of Diffusion Processes into the Wiener Process
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
- Positive Temperatures on an Infinite Rod
This page was built for publication: Lie symmetry methods for local volatility models