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

DOI10.1016/J.CAMWA.2016.07.003MaRDI QIDQ516692zbMATH OpenOpenAlexFDO

Authors W. Sinkala

Publication date 15 March 2017

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

arbitrage-freeBlack-Scholes formulaEuropean call optioninvariant solutionsLie symmetries

Mathematics Subject Classification ID

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

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Cites work

• Applications of symmetry methods to partial differential equations
• ARBITRAGE-FREE OPTION PRICING MODELS
• CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
• 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?)
• 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

(3)

• New candidates for arbitrage-free stock price models via generalized conditional symmetry method
• On the construction of infinitely many nonclassical symmetries of the Black-Scholes equation
• Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach

Describes a project that uses

Uses Software

• Mathematica
• YaLie

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