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Yam, Phillip S. C.; Yang, Hailiang

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

Appl. Math., Praha 51, No. 1, 49-61 (2006).
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.

Cited in 1 Document

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)

Keywords:

Lie groups; infinitesimal transformations; pricing of derivative securities; Bessel equations
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\textit{P. S. C. Yam} and \textit{H. Yang}, Appl. Math., Praha 51, No. 1, 49--61 (2006; Zbl 1164.60359)
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