Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

DOI10.1016/J.JMAA.2005.11.068MaRDI QIDQ855464zbMATH OpenOpenAlexFDO

Authors Chi-Fai Lo, Cho-Hoi Hui

Publication date 7 December 2006

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2005.11.068

zbMATH Keywords

optionsLie algebrapartial differential equationconstant elasticity of variance

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3977304 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3100112 (Why is no real title available?)
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Lie Algebraic Solution of Linear Differential Equations
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• Valuation model of defaultable bond values in emerging markets
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

Cited in

(19)

• Lie symmetry approach to the CEV model
• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
• Valuing time-dependent CEV barrier options
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• Lie theory: Applications to problems in mathematical finance and economics
• Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
• Solving a nonlinear PDE that prices real options using utility based pricing methods
• Symmetry analysis of the option pricing model with dividend yield from financial markets
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
• Lie theory to value financial derivatives with time dependent parameters
• Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Asymptotics of barrier option pricing under the CEV process
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

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