Pricing participating products under a generalized jump-diffusion model.
On valuation of derivative securities: A Lie group analytical approach
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.
Robust stabilization and guaranteed cost control of large scale linear systems with jumps
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