Okelola, MO and Govinder, KS and O'Hara, JG (2015) Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters. Mathematical Methods in the Applied Sciences, 38 (14). pp. 2901-2910. DOI https://doi.org/10.1002/mma.3249
Okelola, MO and Govinder, KS and O'Hara, JG (2015) Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters. Mathematical Methods in the Applied Sciences, 38 (14). pp. 2901-2910. DOI https://doi.org/10.1002/mma.3249
Okelola, MO and Govinder, KS and O'Hara, JG (2015) Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters. Mathematical Methods in the Applied Sciences, 38 (14). pp. 2901-2910. DOI https://doi.org/10.1002/mma.3249
Abstract
<jats:p>Previous analysis and research on the power option – one of the exotic options – have focused on the interest rate of the stock and its volatility as constant parameters throughout the run of execution. In this paper, we attempt to extend these results to the more practical and realistic case of when these parameters are time dependent. By making no <jats:italic>ansatz</jats:italic> or relying on <jats:italic>ad hoc</jats:italic> methods, we are able to achieve this via an algorithmic method – the Lie group approach – leading to exact solutions for the power option problem. Copyright © 2014 John Wiley & Sons, Ltd.</jats:p>
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | power options; symmetries |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 15 May 2015 14:41 |
| Last Modified: | 04 Dec 2024 06:34 |
| URI: | http://repository.essex.ac.uk/id/eprint/13699 |