On valuation of derivative securities: A Lie group analytical approach.

DOI10.1007/S10492-006-0004-ZMaRDI QIDQ954574zbMATH OpenOpenAlexWikidataFDO

Authors Phillip S. C. Yam, Hailiang Yang

Publication date 24 November 2008

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/33243, http://hdl.handle.net/10338.dmlcz/134629

zbMATH Keywords

Lie groupsBessel equationsinfinitesimal transformationspricing of derivative securities

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Backward Stochastic Differential Equations in Finance
• Black's consol rate conjecture
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Pricing Options With Curved Boundaries¹
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(4)

• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• New analytical option pricing models with Weyl–Titchmarsh theory
• Lie theory to value financial derivatives with time dependent parameters
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

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