Symmetry analysis of a model of stochastic volatility with time-dependent parameters
DOI10.1016/J.CAM.2011.03.009zbMATH Open1231.91493OpenAlexW2047171476MaRDI QIDQ548314FDOQ548314
Authors: Yong-Cai Geng, Sumit K. Garg 
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
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- The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
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Cited In (9)
- The algebraic properties of the space- and time-dependent one-factor model of commodities
- Solving a partial differential equation associated with the pricing of power options with time-dependent parameters
- 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
- 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
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