A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model

DOI10.4172/1736-4337.1000S2-006zbMATH Open1371.91180MaRDI QIDQ501780FDOQ501780

Alfio Borzì, Juri Merger

Publication date: 10 January 2017

Published in: Journal of Generalized Lie Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jglta/1479265225

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zbMATH Keywords

differential equationsLie algebraLie symmetriesBlack-Scholes equationdiffeomorphisms

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) Symmetries of infinite-dimensional dissipative dynamical systems (37L20)

Cited In (3)

• Title not available (Why is that?)
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• A Contour Integral Method for the Black–Scholes and Heston Equations

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