Browsing by Subject "Symmetry analysis"

Now showing items 1-4 of 4

    • Article  

      Algebraic solution of the Stein-Stein model for stochastic volatility 

      Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)
      We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
    • Article  

      Symmetry analysis for a class of nonlinear dispersive equations 

      Charalambous, Kyriakos; Sophocleous, Christodoulos (2015)
      A class of dispersive equations is studied within the framework of group analysis of differential equations. The enhanced Lie group classification is achieved. The complete list of equivalence transformations is presented. ...
    • Article  

      Symmetry analysis of a model for the exercise of a barrier option 

      O'Hara, John G.; Sophocleous, Christodoulos; Leach, Peter G. L. (2013)
      A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black-Scholes-Merton ...
    • Article  

      Symmetry analysis of a model of stochastic volatility with time-dependent parameters 

      Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)
      We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...