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Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach

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  • C. F. Lo
  • C. H. Hui

Abstract

We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.

Suggested Citation

  • C. F. Lo & C. H. Hui, 2002. "Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 32, pages 1-10, January.
    • Handle: RePEc:hin:jijmms:363709
    DOI: 10.1155/S016117120211101X
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    Cited by:

    1. Ming Xi Huang, 2010. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2010.

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