Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
Author:
Funder
Comisión Nacional de Investigación Científica y Tecnológica
Publisher
MDPI AG
Subject
General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)
Link
http://www.mdpi.com/2227-7390/4/2/28/pdf
Reference34 articles.
1. The Valuation of Option Contracts and a Test of Market Efficiency
2. The Pricing of Options and Corporate Liabilities
3. On the pricing of corporate data: The risk structure of interest rates;Merton;J. Financ.,1974
4. Algebraic solution of the Stein–Stein model for stochastic volatility
5. Computational Methods for Option Pricing;Achdou,2005
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