Symmetry analysis of a model of stochastic volatility with time-dependent parameters

DOI10.1016/J.CAM.2011.03.009zbMATH Open1231.91493OpenAlexW2047171476MaRDI QIDQ548314FDOQ548314

Sumit K. Garg, Yong-Cai Geng

Publication date: 28 June 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.03.009

zbMATH Keywords

stochastic processessymmetriesnonlinear evolution equations

Mathematics Subject Classification ID

Self-similar solutions to PDEs (35C06) Initial value problems for second-order parabolic equations (35K15) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• LIE, a PC program for Lie analysis of differential equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Lie symmetry analysis of differential equations in finance
• Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
• Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics
• Invariance properties of a general bond-pricing equation
• On the systematic approach to the classification of differential equations by group theoretical methods
• Time Dependent Heston Model
• Integration of second order ordinary differential equations not possessing Lie point symmetries
• Algebraic properties of evolution partial differential equations modelling prices of commodities
• Algebraic solution of the Stein-Stein model for stochastic volatility
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Nonlocal Symmetries and the Complete Symmetry Group of 1 + 1 Evolution Equations
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• Symmetry, Singularities and Integrability in Complex Dynamics V: Complete Symmetry Groups of Certain Relativistic Spherically Symmetric Systems
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
• Exponential nonlocal symmetries and nonnormal reduction of order

Cited In (8)

• Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
• Exact solutions via equivalence transformations of variable-coefficient fifth-order KdV equations
• Option pricing: the reduced-form SDE model
• Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
• Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters
• Lie symmetries of generalized Burgers equations: application to boundary-value problems
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility

Uses Software

• REDUCE
• SYM
• LIE

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