Pricing Multi-asset Financial Derivatives with Time-dependent Parameters—lie Algebraic Approach
نویسندگان
چکیده
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 formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.
منابع مشابه
Modeling multi - factor financial derivatives by a Partial Differential Equation approach with efficient implementation on Graphics Processing Units by Duy Minh Dang A thesis submitted in conformity with the requirements for the degree
Modeling multi-factor financial derivatives by a Partial Differential Equation approach with efficient implementation on Graphics Processing Units Duy Minh Dang Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2011 This thesis develops efficient modeling frameworks via a Partial Differential Equation (PDE) approach for multi-factor financial derivatives, with e...
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