Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
From MaRDI portal
Publication:2371853
DOI10.1016/j.jmaa.2006.11.056zbMath1154.91027OpenAlexW1964139485MaRDI QIDQ2371853
Publication date: 9 July 2007
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.11.056
Related Items
Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models ⋮ Symmetries and analytical solutions of the Hamilton–Jacobi–Bellman equation for a class of optimal control problems ⋮ Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility ⋮ Euler-Bernoulli beams from a symmetry standpoint-characterization of equivalent equations ⋮ Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Symmetry analysis of a model of stochastic volatility with time-dependent parameters ⋮ Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure ⋮ Algebraic solution of the Stein-Stein model for stochastic volatility ⋮ Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility ⋮ A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters ⋮ Embedding the Vasicek model into the Cox-Ingersoll-Ross model ⋮ The Lie symmetry approach on (1+2)-dimensional financial models ⋮ The algebraic properties of the space-and time-dependent one-factor model of commodities
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
- Lie symmetry analysis of differential equations in finance
- DIMSYM and LIE: Symmetry determination packages
- Optimal investment and consumption models with non-linear stock dynamics
- The complete symmetry group of the generalised hyperladder problem
- A classical viewpoint on quantum chaos
- Symmetry analysis of initial-value problems
- Nonlocal Symmetries and the Complete Symmetry Group of 1 + 1 Evolution Equations
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
- The Economy of Complete Symmetry Groups for Linear Higher Dimensional Systems
- Jacobi's Last Multiplier and the Complete Symmetry Group of the EulerPoinsot System
- ‘Air’ polynomials, Lie point symmetries and a hyperbolic equation
- Symmetry-based algorithms to relate partial differential equations: I. Local symmetries
- LIE, a PC program for Lie analysis of differential equations
- Complete symmetry groups of ordinary differential equations and their integrals: Some basic considerations