Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics
DOI10.1142/S1402925109000339zbMath1362.35310OpenAlexW2066814116WikidataQ115244644 ScholiaQ115244644MaRDI QIDQ5737645
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Publication date: 30 May 2017
Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s1402925109000339
Black-Scholes equationfinancial mathematicsCox-Ingersoll-Ross equationLie remarkabilitymodern group analysis
Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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