Items where Author is "Caister, NC"
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Caister, NC and Govinder, KS and O’Hara, JG (2011) Solving a nonlinear pde that prices real options using utility based pricing methods. Nonlinear Analysis: Real World Applications, 12 (4). pp. 2408-2415. DOI https://doi.org/10.1016/j.nonrwa.2011.02.015
Caister, NC and Govinder, KS and O'Hara, JG (2011) Optimal system of Lie group invariant solutions for the Asian option PDE. Mathematical Methods in the Applied Sciences, 34 (11). pp. 1353-1365. DOI https://doi.org/10.1002/mma.1444
Caister, NC and O'Hara, JG and Govinder, KS (2010) Solving the Asian Option PDE Using LIE Symmetry Methods. International Journal of Theoretical and Applied Finance, 13 (08). pp. 1265-1277. DOI https://doi.org/10.1142/s0219024910006194