Geodesic
On valuation of derivative securities: A Lie group analytical approach
Applications of Mathematics, Tome 51 (2006) no. 1, pp. 49-61

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This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution.
DOI : 10.1007/s10492-006-0004-z
Classification : 49L25, 60G40, 91B24
Keywords: Lie groups; infinitesimal transformations; invariants; pricing of derivative securities; Bessel equations; Bessel functions 
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Yam, Phillip S. C.; Yang, Hailiang. On valuation of derivative securities: A Lie group analytical approach. Applications of Mathematics, Tome 51 (2006) no. 1, pp. 49-61. doi: 10.1007/s10492-006-0004-z

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