Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method
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References listed on IDEAS
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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- Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-219, March.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
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