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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
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?
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
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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