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, vol. 32, Article ID 363709, 10 pages, 2002. https://doi.org/10.1155/S016117120211101X
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 formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.
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