Lie symmetry methods for local volatility models
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2019.10.009
Abstract: Abstract We investigate PDEs of the form u t = 1 2 σ 2 ( t , x ) u x x − g ( x ) u which are associated with the calculation of… read more here.
Keywords: volatility; volatility models; lie symmetry; symmetry methods ... See more keywords
Special Issue "Advanced Symmetry Methods for Dynamics, Control, Optimization and Applications"
Sign Up to like & getrecommendations! Published in 2022 at "Symmetry"
DOI: 10.3390/sym15010026
Abstract: Nonlinear systems described by differential equations are of great theoretical significance and do frequently arise in practice [...] read more here.
Keywords: symmetry methods; issue advanced; advanced symmetry; symmetry ... See more keywords