scientific article; zbMATH DE number 7727662

MaRDI QIDQ6172072zbMATH OpenFDO

Authors

Publication date 16 August 2023

Full work available at URL http://online.watsci.org/contents2023/v30n1b.html, http://online.watsci.org/fulltext_b_pdf//2023v30/v30n1b-pdf/4.pdf

zbMATH Keywords

dividend yieldHeston modelinvariant solutionLie symmetry analysispartial differential equation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• [SADE] a Maple package for the symmetry analysis of differential equations
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model
• A new analytical approximation for European puts with stochastic volatility
• An iterative splitting method for pricing European options under the Heston model
• scientific article; zbMATH DE number 1807361 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Invariant and some new exact solutions of Burgers equation
• Lie symmetry analysis and invariant solutions of a nonlinear Fokker-Planck equation describing cell population growth
• Lie symmetry analysis of differential equations in finance
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• Lie symmetry reductions and exact solutions of a coupled KdV-Burgers equation
• On pricing European options under HCIR model: a comparative study
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Stock price distributions with stochastic volatility: an analytic approach
• Symmetry analysis of the option pricing model with dividend yield from financial markets
• Symmetry methods for option pricing
• The pricing of options and corporate liabilities
• Valuing options in Heston's stochastic volatility model: another analytical approach

Cited in

(4)

• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• On the generation of arbitrage-free stock price models using Lie symmetry analysis
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• Symmetry analysis of the option pricing model with dividend yield from financial markets

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