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

dc.contributor.authorSophocleous, Christodoulosen
dc.contributor.authorO'Hara, John G.en
dc.contributor.authorLeach, Peter G. L.en
dc.creatorSophocleous, Christodoulosen
dc.creatorO'Hara, John G.en
dc.creatorLeach, Peter G. L.en
dc.date.accessioned2019-12-02T10:38:21Z
dc.date.available2019-12-02T10:38:21Z
dc.date.issued2011
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/57650
dc.description.abstractWe 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 determination of the Lie point symmetries of the governing 1+1 evolution partial differential equation. This is not the situation in the latter case, but we are able to infer the essential structure of the required nonlocal symmetry from that of the autonomous problem and hence can present the solution to the nonautonomous problem. As in the case of the standard BlackScholes problem the presence of time-dependent parameters is not a hindrance to the demonstration of a solution. © 2011 Elsevier B.V. All rights reserved.en
dc.sourceJournal of Computational and Applied Mathematicsen
dc.source.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-79955910967&doi=10.1016%2fj.cam.2011.03.009&partnerID=40&md5=d5eec8b4896f6fa4c60f2d39f3905be4
dc.subjectRandom processesen
dc.subjectStochastic processesen
dc.subjectStochastic systemsen
dc.subjectStochastic modelsen
dc.subjectPartial differential equationsen
dc.subjectNonlinear equationsen
dc.subjectSymmetry analysisen
dc.subjectLie point symmetriesen
dc.subjectNonlinear evolution equationen
dc.subjectStochastic volatilityen
dc.subjectBlack-Scholesen
dc.subjectAutonomous problemsen
dc.subjectHeston modelen
dc.subjectNon local symmetriesen
dc.subjectNonautonomousen
dc.subjectNonlinear evolution equationsen
dc.subjectStochastic processen
dc.subjectSymmetriesen
dc.subjectTime dependent parameteren
dc.titleSymmetry analysis of a model of stochastic volatility with time-dependent parametersen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1016/j.cam.2011.03.009
dc.description.volume235
dc.description.issue14
dc.description.startingpage4158
dc.description.endingpage4164
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 :5</p>en
dc.source.abbreviationJ.Comput.Appl.Math.en
dc.contributor.orcidSophocleous, Christodoulos [0000-0001-8021-3548]
dc.gnosis.orcid0000-0001-8021-3548


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