On the generation of arbitrage-free stock price models using Lie symmetry analysis

DOI10.1016/J.CAMWA.2016.07.003zbMATH Open1357.91048OpenAlexW2491648915MaRDI QIDQ516692FDOQ516692

Authors W. Sinkala

Publication date 15 March 2017

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2016.07.003

zbMATH Keywords

invariant solutionsLie symmetriesBlack-Scholes formulaEuropean call optionarbitrage-free

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Dynamical systems in optimization and economics (37N40) Geometric theory, characteristics, transformations in context of PDEs (35A30)

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Cites work

• scientific article; zbMATH DE number 1807361 (Why is no real title available?)
• scientific article; zbMATH DE number 3762913 (Why is no real title available?)
• scientific article; zbMATH DE number 478435 (Why is no real title available?)
• scientific article; zbMATH DE number 1467744 (Why is no real title available?)
• ARBITRAGE-FREE OPTION PRICING MODELS
• Applications of symmetry methods to partial differential equations
• CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
• Lie symmetry analysis of differential equations in finance
• Symmetry analysis of differential equations with MATHEMATICA
• Symmetry-based algorithms to relate partial differential equations: I. Local symmetries
• The pricing of options and corporate liabilities

Cited in

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• New candidates for arbitrage-free stock price models via generalized conditional symmetry method

Describes a project that uses

Uses Software

• Mathematica
• YaLie

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