scientific article; zbMATH DE number 2044610

MaRDI QIDQ4448508zbMATH OpenFDO

Authors Angelika Esser

Publication date 18 February 2004

zbMATH Keywords

asset pricenoarbitrage pricing of contingent claims

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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(5)

• Modeling price formation in a multi-commodity market -- a graph-theoretical decomposition approach to complexity reduction
• Solving a partial differential equation associated with the pricing of power options with time-dependent parameters
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• Algorithmic solution of the power option PDE by the Lie group approach

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