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
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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)
Cites Work
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- 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
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