Algebraic solution of the Stein-Stein model for stochastic volatility

DOI10.1016/J.CNSNS.2010.08.008MaRDI QIDQ718482zbMATH OpenOpenAlexFDO

Authors 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 processessymmetry analysissimilarity solutionsnonlinear evolution equations

Mathematics Subject Classification ID

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

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Cites work

• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Algebraic properties of evolution partial differential equations modelling prices of commodities
• Berry's phase and wavefunctions for time-dependent Hamilton systems
• Complete specification of some partial differential equations that arise in financial mathematics
• Invariance properties of a general bond-pricing equation
• Lie symmetry analysis of differential equations in finance
• On the systematic approach to the classification of differential equations by group theoretical methods
• Stock price distributions with stochastic volatility: an analytic approach
• Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions

Cited in

(11)

• Solving a partial differential equation associated with the pricing of power options with time-dependent parameters
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING 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
• 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
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
• Stochastic volatility models and Kelvin waves

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