Option pricing: the reduced-form SDE model

DOI10.1080/10236198.2022.2055472zbMath1490.35508OpenAlexW4293088014MaRDI QIDQ5072126

G. S. Rukanda, John G. O'Hara, Keshlan S. Govinder

Publication date: 25 April 2022

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2022.2055472

zbMATH Keywords

symmetriesLie algebrasilliquid marketsreduced-form SDE model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• LIE
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Cites Work

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• Solving a nonlinear PDE that prices real options using utility based pricing methods
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• Cap-and-trade properties under different hybrid scheme designs
• Algebraic solution of the Stein-Stein model for stochastic volatility
• Portfolio choice and pricing in illiquid markets
• Lie symmetry analysis of differential equations in finance
• Perfect option hedging for a large trader
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
• Symmetries and differential equations
• LIE, a PC program for Lie analysis of differential equations

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