Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility

DOI10.3390/math4020028zbMath1358.91101arXiv1508.06797OpenAlexW1914940101MaRDI QIDQ515438

Yong-Cai Geng, Sumit K. Garg

Publication date: 16 March 2017

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.06797

zbMATH Keywords

stochastic volatilityfinancial mathematicsLie point symmetriesBlack-Scholes-Merton equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Symmetries, invariants, etc. in context of PDEs (35B06)

Related Items (6)

Lie symmetry analysis and similarity solutions for the Jimbo-Miwa equation and generalisations ⋮ Lie symmetry analysis and similarity solutions for the Camassa-Choi equations ⋮ Generalized symmetries and recursive operators of some diffusive equations ⋮ Symmetries of the Black-Scholes-Merton equation for European options ⋮ Unnamed Item ⋮ Lie symmetry analysis, exact solutions, and conservation laws of variable-coefficients Boiti-Leon-Pempinelli equation

Uses Software

• SYM

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Lie symmetry analysis of differential equations in finance
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Algebraic properties of evolution partial differential equations modelling prices of commodities

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