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

DOI10.4172/1736-4337.1000S2-006MaRDI QIDQ501780zbMATH OpenFDO

Authors Juri Merger, Alfio Borzì

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

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)

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Cited in

(3)

• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• scientific article; zbMATH DE number 7727662 (Why is no real title available?)
• A Contour Integral Method for the Black–Scholes and Heston Equations

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