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Algebraic properties of evolution partial differential equations modelling prices of commodities

dc.contributor.authorSophocleous, Christodoulosen
dc.contributor.authorLeach, Peter G. L.en
dc.contributor.authorAndriopoulos, Konstantinosen
dc.creatorSophocleous, Christodoulosen
dc.creatorLeach, Peter G. L.en
dc.creatorAndriopoulos, Konstantinosen
dc.date.accessioned2019-12-02T10:38:21Z
dc.date.available2019-12-02T10:38:21Z
dc.date.issued2008
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/57649
dc.description.abstractSchwartz (J. Finance 1997en
dc.description.abstract52:923-973) 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.en
dc.sourceMathematical Methods in the Applied Sciencesen
dc.source.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-41249097586&doi=10.1002%2fmma.936&partnerID=40&md5=4aeb2c72911c3b26e8d4da9d8a1b0a48
dc.subjectMathematical modelsen
dc.subjectAlgebraen
dc.subjectRandom processesen
dc.subjectPartial differential equationsen
dc.subjectCostsen
dc.subjectAlgebraic propertiesen
dc.subjectBlack Scholesen
dc.subjectBlack-Scholesen
dc.subjectLie group analysisen
dc.subjectPrices on commoditiesen
dc.subjectStochastic influencesen
dc.titleAlgebraic properties of evolution partial differential equations modelling prices of commoditiesen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1002/mma.936
dc.description.volume31
dc.description.issue6
dc.description.startingpage679
dc.description.endingpage694
dc.author.facultyΣχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences
dc.author.departmentΤμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.type.uhtypeArticleen
dc.description.notes<p>Cited By :11</p>en
dc.source.abbreviationMath.Methods Appl.Sci.en
dc.contributor.orcidSophocleous, Christodoulos [0000-0001-8021-3548]
dc.gnosis.orcid0000-0001-8021-3548


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