Optimal system of Lie group invariant solutions for the Asian option PDE

DOI10.1002/mma.1444zbMath1222.91057MaRDI QIDQ5199428

Keshlan S. Govinder, N. C. Caister, John G. O'Hara

Publication date: 16 August 2011

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.1444

zbMATH Keywords

Fourier transforms; boundary conditions; Lie symmetries; reduced equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

35B06: Symmetries, invariants, etc. in context of PDEs

Related Items

Kawahara equation and modified Kawahara equation with time dependent coefficients: symmetry analysis and generalized ‐expansion method, Solving a nonlinear PDE that prices real options using utility based pricing methods, Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters

Uses Software

• Mathematica
• SYMMGRP
• SYM
• LIE

Cites Work

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• Preliminary group classification of equations v t t=f (x,v x)v x x+g(x,v x)
• Subalgebras of real three- and four-dimensional Lie algebras
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• LIE, a PC program for Lie analysis of differential equations