Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
From MaRDI portal
Publication:515438
DOI10.3390/math4020028zbMath1358.91101arXiv1508.06797OpenAlexW1914940101MaRDI QIDQ515438
Publication date: 16 March 2017
Published in: Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.06797
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
Cites Work
- The Pricing of Options and Corporate Liabilities
- Group classification of a generalization of the Heath equation
- Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
- Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics
- Lie point symmetries of a general class of PDEs: the heat equation
- Algebraic solution of the Stein-Stein model for stochastic volatility
- Simplifying the form of Lie groups admitted by a given differential equation
- Invariant solutions of the Black-Scholes equation
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- A note on the integrability of the classical portfolio selection model
- 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
This page was built for publication: Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility