Lie symmetry methods for local volatility models
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Publication:2175338
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Cites work
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- Fourier type transforms on Lie symmetry groups
- Functionals of multidimensional diffusions with applications to finance
- Fundamental solutions, transition densities and the integration of Lie symmetries
- Generalized uncorrelated SABR models with a high degree of symmetry
- Generating integrable one dimensional driftless diffusions
- Lie group symmetries as integral transforms of fundamental solutions
- Lie symmetry approach to the CEV model
- Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
- New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
- New solutions to the bond-pricing equation via Lie's classical method
- New solvable stochastic volatility models for pricing volatility derivatives
- On the Transformation of Diffusion Processes into the Wiener Process
- On the equivalence of Lie symmetries and group representations
- Option pricing with quadratic volatility: a revisit
- Positive Temperatures on an Infinite Rod
- Stochastic volatility models and the pricing of VIX options
- Symmetry group methods for fundamental solutions
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- Why are quadratic normal volatility models analytically tractable?
Cited in
(7)- Effective asymptotics analysis for finance
- Integral equations and the solution of boundary value problems for diffusions and dispersive equations
- Solvable local and stochastic volatility models: supersymmetric methods in option pricing
- Novel exact solutions for PDEs with mixed boundary conditions
- The Lie symmetry approach on (1+2)-dimensional financial models
- Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach
- Lie symmetry analysis on pricing weather derivatives by partial differential equations
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