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The Lie Algebraic Approach for Determining Pricing for Trade Account Options

Author

Listed:
  • Shih-Hsien Tseng

    (Department of Industrial Management, National Taiwan University of Science and Technology, 43 Sec. 4 Keelung Road, Daan District, Taipei 106335, Taiwan)

  • Tien Son Nguyen

    (Institute of Industrial Management, National Central University, 300 Zhongda Road, Zhongli District, Taoyuan City 32001, Taiwan)

  • Ruei-Ci Wang

    (Minastir Asset Management AB, Quantitative Developer, Gottakrav. 28, 236 41 Hollviken, Sweden)

Abstract

In recent years, many advanced techniques have been applied to financial problems; however, very few scholars have used the Lie theory. The purpose of this study was to examine the options for a trade account through Lie symmetry analysis. According to our results, it is effective for determining analytical solutions for pricing issues and solving other partial differential equations. The proposed solution can be used by further researchers or practitioners in option pricing problems for better performance compared with the classical Black–Scholes model.

Suggested Citation

  • Shih-Hsien Tseng & Tien Son Nguyen & Ruei-Ci Wang, 2021. "The Lie Algebraic Approach for Determining Pricing for Trade Account Options," Mathematics, MDPI, vol. 9(3), pages 1-9, January.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:3:p:279-:d:490266
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    References listed on IDEAS

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