Symmetry properties and exact solutions of (2+1)-dimensional linear equation of pricing of Asian options

MaRDI QIDQ5204915zbMATH OpenFDO

Authors V. I. Stogniĭ, I. M. Kopas, S. V. Spichak

Publication date 9 December 2019

zbMATH Keywords

equation of pricing of Asian optionsexact solutionsinvariance algebrasymmetry reduction

Mathematics Subject Classification ID

Solutions to PDEs in closed form (35C05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• A novel reduction of the simple Asian option and Lie-group invariant solutions
• Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
• Symmetries and exact solutions of a nonlinear pricing options equation
• Optimal system of Lie group invariant solutions for the Asian option PDE
• GROUP CLASSIFICATION OF ONE CLASS (2+1)-DIMENSIONAL LINEAR EQUATIONS OF ASIAN OPTIONS PRICING
• Invariant solutions and linearized invariant submodels of some option pricing equations

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