Pricing of an option with the aid of Lie symmetry methods

MaRDI QIDQ4585187zbMATH OpenFDO

Authors Anupma Bansal, Meenakshi Mittal

Publication date 6 September 2018

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• Lie symmetry analysis on pricing weather derivatives by partial differential equations
• Option pricing for symmetric Lévy returns with applications
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Proper Orthogonal Decomposition in Option Pricing

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