Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

DOI10.1080/713665552zbMATH Open1405.91637OpenAlexW3124360094MaRDI QIDQ4646465FDOQ4646465

Authors: Chi-Fai Lo, Cho-Hoi Hui 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665552

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zbMATH Keywords

pricing of financial derivativesWei-Norman theoremLie-algebraic technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Lie algebras of linear algebraic groups (17B45)

Cited In (14)

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• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
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• Lie theory to value financial derivatives with time dependent parameters
• Invariance properties of a general bond-pricing equation
• Lie theory: Applications to problems in mathematical finance and economics
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
• Lie algebraic discussions for time-inhomogeneous linear birth-death processes with immigration
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
• A simple approach for pricing barrier options with time-dependent parameters
• Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• The algebraic structure of the SU(7) Lie group

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