Algebraic solution of the Stein-Stein model for stochastic volatility

DOI10.1016/j.cnsns.2010.08.008zbMath1221.91059OpenAlexW2041580863MaRDI QIDQ718482

D. Kharzeev

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.08.008

zbMATH Keywords

stochastic processessimilarity solutionsnonlinear evolution equationssymmetry analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Related Items (10)

Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters ⋮ Option pricing: the reduced-form SDE model ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ 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 ⋮ Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility ⋮ Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Symmetry analysis of a model of stochastic volatility with time-dependent parameters ⋮ Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility ⋮ A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters

Uses Software

• SYM

Cites Work

• Invariance properties of a general bond-pricing equation
• On the systematic approach to the classification of differential equations by group theoretical methods
• Lie symmetry analysis of differential equations in finance
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Berry's phase and wavefunctions for time-dependent Hamilton systems
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
• Algebraic properties of evolution partial differential equations modelling prices of commodities
• Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics

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