A NOVEL REDUCTION OF THE SIMPLE ASIAN OPTION AND LIE-GROUP INVARIANT SOLUTIONS

DOI10.1142/S0219024909005634zbMath1183.91182OpenAlexW2022429107WikidataQ115245797 ScholiaQ115245797MaRDI QIDQ3400132

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Publication date: 5 February 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005634

zbMATH Keywords

symmetry analysisRogers-Shi-Večeř reductionsimple Asian option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30)

Related Items (4)

Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters ⋮ Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Computing Matrix Representations of Filiform Lie Algebras ⋮ SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

Cites Work

• Symmetry and integration methods for differential equations
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Unnamed Item
• Unnamed Item

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