The Lie symmetry approach on (1+2)-dimensional financial models-Reference-Cited by-同舟云学术

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The Lie symmetry approach on (1+2)-dimensional financial models

Published:2021-08 Issue:4 Volume:2 Page:
ISSN:2662-2963
Container-title:Partial Differential Equations and Applications
language:en
Short-container-title:Partial Differ. Equ. Appl.

Author:

Charalambous K.,Kontogiorgis S.,Sophocleous C.^ORCID

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s42985-021-00112-9.pdf

Reference24 articles.

1. Black, F., Scholes, M.: The Pricing of Options and Corporate Liabilities. J. Polit. Econ. 81, 637–654 (1973)

2. Gazizov, R.K., Ibragimov, N.H.: Lie symmetry analysis of differential equations in finance. Nonlinear Dynam. 17, 387–407 (1998)

3. Zeng, X., Taksar, M.: A stochastic volatility model and optimal portfolio selection. Quant. Finance 13, 1547–1558 (2013)

4. Korn, R., Kraft, H.: A stochastic control approach to portfolio problems with stochastic interest rates. SIAM J. Control Optim. 40, 1250–1269 (2002)

5. Mudchanatongsuk, S., Primbs, J.A., Wong, W.: Optimal pairs trading: a stochastic control approach. American Control Conference, Westin Seattle Hotel, Seattle, Washington, USA 2008, 1035–1039 (2008)

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Contact Symmetries and Linearization of Certain Classes of Financial Models;International Journal of Applied and Computational Mathematics;2023-12-27

2. Linearization in Financial Mathematics;Journal of Physics: Conference Series;2023-12-01

3. Lie symmetries and the constant elasticity of variance (CEV) model;Partial Differential Equations in Applied Mathematics;2022-06

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