Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach
We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/S016117120211101X |
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| _version_ | 1832563489567145984 |
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| author | C. F. Lo C. H. Hui |
| author_facet | C. F. Lo C. H. Hui |
| author_sort | C. F. Lo |
| collection | DOAJ |
| description | We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives. |
| format | Article |
| id | doaj-art-5808f134bec54edd92b75cd02f5dd012 |
| institution | Kabale University |
| issn | 0161-1712 1687-0425 |
| language | English |
| publishDate | 2002-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-5808f134bec54edd92b75cd02f5dd0122025-02-03T01:20:04ZengWileyInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04252002-01-0132740141010.1155/S016117120211101XPricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approachC. F. Lo0C. H. Hui1Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong KongBanking Policy Department, Hong Kong Monetary Authority, 30th Floor, 3 Garden Road, Hong KongWe present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.http://dx.doi.org/10.1155/S016117120211101X |
| spellingShingle | C. F. Lo C. H. Hui Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach International Journal of Mathematics and Mathematical Sciences |
| title | Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach |
| title_full | Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach |
| title_fullStr | Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach |
| title_full_unstemmed | Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach |
| title_short | Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach |
| title_sort | pricing multi asset financial derivatives with time dependent parameters lie algebraic approach |
| url | http://dx.doi.org/10.1155/S016117120211101X |
| work_keys_str_mv | AT cflo pricingmultiassetfinancialderivativeswithtimedependentparametersliealgebraicapproach AT chhui pricingmultiassetfinancialderivativeswithtimedependentparametersliealgebraicapproach |