Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters

DOI10.1002/mma.3249zbMath1329.35312OpenAlexW2079060749MaRDI QIDQ3462587

M. O. Okelola, Keshlan S. Govinder, John G. O'Hara

Publication date: 15 January 2016

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3249

zbMATH Keywords

symmetriespower options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility

Uses Software

• SYM
• LIE

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• Solving a nonlinear PDE that prices real options using utility based pricing methods
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• Algebraic solution of the Stein-Stein model for stochastic volatility
• PDE and martingale methods in option pricing.
• Applications of symmetry methods to partial differential equations
• Lie symmetry analysis of differential equations in finance
• Risk-neutral valuation of power barrier options
• Singular invariant equation for the (1+1) Fokker–Planck equation
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• A NOVEL REDUCTION OF THE SIMPLE ASIAN OPTION AND LIE-GROUP INVARIANT SOLUTIONS
• Optimal system of Lie group invariant solutions for the Asian option PDE
• LIE, a PC program for Lie analysis of differential equations