On valuation of derivative securities: A Lie group analytical approach
Phillip S. C. Yam; Hailiang Yang
Applications of Mathematics (2006)
- Volume: 51, Issue: 1, page 49-61
- ISSN: 0862-7940
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topYam, Phillip S. C., and Yang, Hailiang. "On valuation of derivative securities: A Lie group analytical approach." Applications of Mathematics 51.1 (2006): 49-61. <http://eudml.org/doc/33243>.
@article{Yam2006,
abstract = {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.},
author = {Yam, Phillip S. C., Yang, Hailiang},
journal = {Applications of Mathematics},
keywords = {Lie groups; infinitesimal transformations; invariants; pricing of derivative securities; Bessel equations; Bessel functions; Lie groups; infinitesimal transformations; pricing of derivative securities; Bessel equations},
language = {eng},
number = {1},
pages = {49-61},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {On valuation of derivative securities: A Lie group analytical approach},
url = {http://eudml.org/doc/33243},
volume = {51},
year = {2006},
}
TY - JOUR
AU - Yam, Phillip S. C.
AU - Yang, Hailiang
TI - On valuation of derivative securities: A Lie group analytical approach
JO - Applications of Mathematics
PY - 2006
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 51
IS - 1
SP - 49
EP - 61
AB - 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.
LA - eng
KW - Lie groups; infinitesimal transformations; invariants; pricing of derivative securities; Bessel equations; Bessel functions; Lie groups; infinitesimal transformations; pricing of derivative securities; Bessel equations
UR - http://eudml.org/doc/33243
ER -
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