Application of Lie Symmetry method in pricing Arithmetic Asian options
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Date
2024-06-23
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Publisher
National University of Lesotho
Abstract
This research investigates the application of Lie symmetry method to find
analytic solutions for arithmetic Asian options, which are crucial financial
derivatives for managing risk in various commodity markets. By employing a
two state partial differential equation approach, the study uses Lie symmetry
method to enhance option pricing models. The research involves finding
determining equations, infinitesimal generators, and invariant solutions, as
well as examining the influence of parameters such as volatility, interest rates,
and time on option prices.
Description
Keywords
Arithmetic Asian options Risk management Commodity markets Lie symmetry Option pricing models Financial derivatives Interest rates Invariant solutions Partial differential equation