Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model-Reference-Cited by-同舟云学术

Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model

Published:2016-06-30 Issue:5 Volume:40 Page:1382-1395
ISSN:0170-4214
Container-title:Mathematical Methods in the Applied Sciences
language:en
Short-container-title:Math. Meth. Appl. Sci.

Author:

Bakkaloglu Ahmet¹²,Aziz Taha³⁴,Fatima Aeeman³⁴,Mahomed F.M.¹⁴,Khalique Chaudry Masood³

Affiliation:

1. School of Computer Science and Applied Mathematics; University of the Witwatersrand; Johannesburg Wits 2050 South Africa

2. Fen-Edebiyat Fakültesi Matematik Bölümü; Mimar Sinan Güzel Sanatlar Üniversitesi (M.S.G.S.Ü); Cumhuriyet Mahallesi Silahsör Caddesi No 71 Sisli-Bomonti Istanbul Turkey

3. International Institute for Symmetry Analysis and Mathematical Modeling, Department of Mathematical Sciences; North-West University; Mafikeng Campus, Private Bag X 2046 Mmabatho 2735 South Africa

4. DST-NRF Centre of Excellence in Mathematical and Statistical Sciences; Johannesburg South Africa

Funder

School of Computer Science and Applied Mathematics, University of the Witwatersrand, South Africa

Publisher

Wiley

Subject

General Engineering,General Mathematics

Reference31 articles.

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3. Invariant approaches to equations of finance;Mahomed;Applied Mathematics and Computation,2013

4. Valuation of financial derivatives with time-independent parameters: Lie-algebraic approach;Lo;Quantitative Finance,2001

5. Fundamental solutions for zero-coupon bond pricing models;Pooe;Nonlinear Dynamics,2004

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1. Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach;Discrete and Continuous Dynamical Systems - S;2024

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