On valuation of derivative securities: A Lie group analytical approach.
DOI10.1007/S10492-006-0004-ZzbMATH Open1164.60359OpenAlexW2048230429WikidataQ115384222 ScholiaQ115384222MaRDI QIDQ954574FDOQ954574
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
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Cites Work
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Backward Stochastic Differential Equations in Finance
- Pricing Options With Curved Boundaries1
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
- Black's consol rate conjecture
Cited In (4)
- 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
- Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
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