Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach

C. F. Lo and C. H. Hui

International Journal of Mathematics and Mathematical Sciences, 2002, vol. 32, 1-10

Abstract:

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.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:363709

DOI: 10.1155/S016117120211101X

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