The Lie Algebraic Approach for Determining Pricing for Trade Account Options

Shih-Hsien Tseng, Tien Son Nguyen and Ruei-Ci Wang
Additional contact information
Shih-Hsien Tseng: Department of Industrial Management, National Taiwan University of Science and Technology, 43 Sec. 4 Keelung Road, Daan District, Taipei 106335, Taiwan
Tien Son Nguyen: Institute of Industrial Management, National Central University, 300 Zhongda Road, Zhongli District, Taoyuan City 32001, Taiwan
Ruei-Ci Wang: Minastir Asset Management AB, Quantitative Developer, Gottakrav. 28, 236 41 Hollviken, Sweden

Mathematics, 2021, vol. 9, issue 3, 1-9

Abstract: In recent years, many advanced techniques have been applied to financial problems; however, very few scholars have used the Lie theory. The purpose of this study was to examine the options for a trade account through Lie symmetry analysis. According to our results, it is effective for determining analytical solutions for pricing issues and solving other partial differential equations. The proposed solution can be used by further researchers or practitioners in option pricing problems for better performance compared with the classical Black–Scholes model.

Keywords: Lie theory; symmetry analysis; options for a trade account; Hamilton–Jacobi–Bellman equation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/3/279/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/3/279/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:9:y:2021:i:3:p:279-:d:490266

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().