New candidates for arbitrage-free stock price models via generalized conditional symmetry method

DOI10.1016/j.amc.2018.03.115zbMath1427.91286OpenAlexW2803049259WikidataQ129920671 ScholiaQ129920671MaRDI QIDQ2335164

Rodica Cimpoiasu

Publication date: 13 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.03.115

zbMATH Keywords

symbolic computationinvariant solutionsstock price modelgeneralized conditional symmetriesarbitrage-free model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• New similarity reductions of the Boussinesq equation
• ARBITRAGE-FREE OPTION PRICING MODELS
• Conditional Lie-Backlund symmetry and reduction of evolution equations
• How to construct the discrete symmetries of partial differential equations
• Exact interaction of solitary waves for certain nonintegrable equations
• Symmetries and differential equations

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