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On valuation of derivative securities: A Lie group analytical approach. (English) Zbl 1164.60359

Summary: This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution.

MSC:

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

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