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Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
16 references·1 citing·29 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY912 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 1994The Valuation of Commodity Contingent Claims192 cited
  • 2010Interest Rate Models An Introduction156 cited

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  • 2004Interest Rate Models140 cited
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    • 2014Algebraic resolution of equations of the Black–Scholes type with arbitrary time-dependent parameters15 cited