Algebraic solution of the Stein–Stein model for stochastic volatility

Author:

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

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference19 articles.

1. A common theme in applied mathematics: an equation connecting applications in economics;Andriopoulos;Med Phys S Afr J Sci,2006

2. On the systematic approach to the classification of differential equations by group theoretical methods;Andriopoulos;J Comput Appl Math,2009

3. A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets;Benth;Stoch Int J Probab Stoch Processes,2005

4. Dimas S, Tsoubelis D. In: Ibragimov NH, Sophocleous C, Damianou PA, editors. SYM: a new symmetry-finding package for Mathematica Group Analysis of Differential Equations. Nicosia: University of Cyprus; 2005. p. 64–70.

5. Dimas S, Tsoubelis D. A new Mathematica-based program for solving overdetermined systems of PDEs 8th International Mathematica Symposium. France: Avignon; 2006.

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