Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition-Reference-Cited by-同舟云学术

Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition

Published:2013-01-10 Issue:1 Volume:82 Page:67-75
ISSN:0022-0833
Container-title:Journal of Engineering Mathematics
language:en
Short-container-title:J Eng Math

Author:

O’Hara J. G.,Sophocleous C.,Leach P. G. L.

Publisher

Springer Science and Business Media LLC

Subject

General Engineering,General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s10665-012-9595-4.pdf

Reference34 articles.

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3. Black F, Scholes M (1972) The valuation of option contracts and a test of market efficiency. J Financ 27: 399–417

4. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81: 637–654

5. Jamshidian F, Fein M (1990) Closed-form solutions for oil futures and European options in the Gibson-Schwartz model: a note (Working paper: Merrill Lynch Capital Markets)

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