Symmetry analysis of a model of stochastic volatility with time-dependent parameters
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Cites work
- scientific article; zbMATH DE number 3944162 (Why is no real title available?)
- scientific article; zbMATH DE number 176820 (Why is no real title available?)
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- Time dependent Heston model
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Cited in
(9)- The algebraic properties of the space- and time-dependent one-factor model of commodities
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Exact solutions via equivalence transformations of variable-coefficient fifth-order KdV equations
- Solving a partial differential equation associated with the pricing of power options with time-dependent parameters
- Option pricing: the reduced-form SDE model
- Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Lie symmetries of generalized Burgers equations: application to boundary-value problems
- Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
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