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 solutio
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 solutio
| Original language | English |
|---|---|
| Pages (from-to) | 49-61 |
| Journal | APPLICATIONS OF MATHEMATICS |
| Volume | 51 |
| Issue number | 1 |
| Publication status | Published - 2006 |
| Externally published | Yes |