Algebraic properties of evolution partial differential equations modelling prices of commodities
Ημερομηνία
2008Source
Mathematical Methods in the Applied SciencesVolume
31Issue
6Pages
679-694Google Scholar check
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Εμφάνιση πλήρους εγγραφήςΕπιτομή
Schwartz (J. Finance 1997 52:923-973) presented three models for the pricing of a commodity. The simplest was a variation on the Black-Scholes equation. The second allowed for a stochastic convenience yield on the commodity and the third added a stochastic variation in the underlying interest rate. We apply the techniques of Lie group analysis to resolve these equations, discuss their peculiar algebraic properties and indicate the route to the addition of other stochastic influences. Copyright ©2007 John Wiley & Sons, Ltd.