Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach
We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/S016117120211101X |
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