Algebraic properties of evolution partial differential equations modelling prices of commodities

DOI10.1002/MMA.936zbMATH Open1132.35491OpenAlexW2130484892MaRDI QIDQ5451428FDOQ5451428

Authors: Christodoulos Sophocleous, K. Andriopoulos, P. G. L. Leach 

Publication date: 27 March 2008

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

Full work available at URL: https://doi.org/10.1002/mma.936

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zbMATH Keywords

Black-ScholesLie group analysisstochastic influencesprices on commodities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Lie algebras of Lie groups (22E60) Stochastic analysis (60H99)

Cites Work

• An equilibrium characterization of the term structure

Cited In (12)

• Title not available (Why is that?)
• The algebraic properties of the space- and time-dependent one-factor model of commodities
• Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• On the invariants of two dimensional linear parabolic equations
• Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
• Closed-form solutions via the invariant approach for one-factor commodity models
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
• Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics
• Algebraic solution of the Stein-Stein model for stochastic volatility

Uses Software

• DIMSYM

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