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Article: On valuation of derivative securities: A lie group analytical approach

TitleOn valuation of derivative securities: A lie group analytical approach
Authors
Yam, PSCYang, H
KeywordsBessel equations
Bessel functions
Infinitesimal transformations
Invariants
Lie groups
Pricing of derivative securities
Issue Date2006
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0862-7940
Citation
Applications Of Mathematics, 2006, v. 51 n. 1, p. 49-61 How to Cite?
DOI: http://dx.doi.org/10.1007/s10492-006-0004-z
AbstractThis 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.
Persistent Identifierhttp://hdl.handle.net/10722/83029
ISSN
0862-7940
2023 Impact Factor: 0.6
2023 SCImago Journal Rankings: 0.253

 

DC FieldValueLanguage
dc.contributor.authorYam, PSCen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:36:07Z-
dc.date.available2010-09-06T08:36:07Z-
dc.date.issued2006en_HK
dc.identifier.citationApplications Of Mathematics, 2006, v. 51 n. 1, p. 49-61en_HK
dc.identifier.issn0862-7940en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83029-
dc.description.abstractThis 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.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0862-7940en_HK
dc.relation.ispartofApplications of Mathematicsen_HK
dc.subjectBessel equationsen_HK
dc.subjectBessel functionsen_HK
dc.subjectInfinitesimal transformationsen_HK
dc.subjectInvariantsen_HK
dc.subjectLie groupsen_HK
dc.subjectPricing of derivative securitiesen_HK
dc.titleOn valuation of derivative securities: A lie group analytical approachen_HK
dc.typeArticleen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s10492-006-0004-zen_HK
dc.identifier.scopuseid_2-s2.0-84867944155en_HK
dc.identifier.hkuros120779en_HK
dc.identifier.volume51en_HK
dc.identifier.issue1en_HK
dc.identifier.spage49en_HK
dc.identifier.epage61en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridYam, PSC=11738974300en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.citeulike473583-
dc.identifier.issnl0862-7940-

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