Displaying similar documents to “The Lie group in infinite dimension.”

On valuation of derivative securities: A Lie group analytical approach

Phillip S. C. Yam, Hailiang Yang (2006)

Applications of Mathematics

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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.