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雷达卡
英文标题：
《Option Pricing with Lie Symmetry Analysis and Similarity Reduction
Method》
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作者：
Wenqing Bao, ChunLi Chen and Jin E. Zhang
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最新提交年份：
2013
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英文摘要：
With some transformations, we convert the problem of option pricing under state-dependent volatility into an initial value problem of the Fokker-Planck equation with a certain potential. By using the Lie symmetry analysis and similarity reduction method, we are able to reduce the dimensions of the partial differential equation and find some of its particular solutions of the equation. A few case studies demonstrate that our new method can be used to produce analytical option pricing formulas for certain volatility functions.
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中文摘要：
通过一些变换，我们将状态相关波动下的期权定价问题转化为具有一定势的福克-普朗克方程的初值问题。利用李对称性分析和相似性约简方法，我们可以对偏微分方程进行降维，并找到方程的一些特解。一些案例研究表明，我们的新方法可以用于生成特定波动率函数的分析性期权定价公式。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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