Algebraic properties of evolution partial differential equations modelling prices of commodities

DOI10.1002/MMA.936MaRDI QIDQ5451428zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• An equilibrium characterization of the term structure

Cited in

(12)

• Algebraic solution of the Stein-Stein model for stochastic volatility
• Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
• 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
• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
• Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• scientific article; zbMATH DE number 1907965 (Why is no real title available?)
• On the invariants of two dimensional linear parabolic equations
• 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

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