SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

2010 ◽  
Vol 13 (08) ◽  
pp. 1265-1277 ◽  
Author(s):  
NICOLETTE C. CAISTER ◽  
JOHN G. O'HARA ◽  
KESHLAN S. GOVINDER
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Analytical Solution ◽  
Stock Price ◽  
Ad Hoc ◽  
Lie Symmetry ◽  
Asian Option ◽  
Asian Options ◽  
Lie Point Symmetries ◽  
Reduced Order

Asian options incorporate the average stock price in the terminal payoff. Examination of the Asian option partial differential equation (PDE) has resulted in many equations of reduced order that in general can be mapped into each other, although this is not always shown. In the literature these reductions and mappings are typically acquired via inspection or ad hoc methods. In this paper, we evaluate the classical Lie point symmetries of the Asian option PDE. We subsequently use these symmetries with Lie's systematic and algorithmic methods to show that one can obtain the same aforementioned results. In fact we find a familiar analytical solution in terms of a Laplace transform. Thus, when coupled with their methodic virtues, the Lie techniques reduce the amount of intuition usually required when working with differential equations in finance.

scholarly journals Symmetry Analysis and Conservation Laws of a Generalization of the Kelvin-Voigt Viscoelasticity Equation

Symmetry ◽  
2019 ◽  
Vol 11 (7) ◽  
pp. 840 ◽  
Author(s):  
Almudena P. Márquez ◽  
María S. Bruzón
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Partial Differential Equation ◽  
Conservation Laws ◽  
Mechanical Behaviour ◽  
Lie Symmetry ◽  
Symmetry Analysis ◽  
Lie Point Symmetries ◽  
Lie Symmetry Analysis ◽  
Partial Differential

In this paper, we study a generalization of the well-known Kelvin-Voigt viscoelasticity equation describing the mechanical behaviour of viscoelasticity. We perform a Lie symmetry analysis. Hence, we obtain the Lie point symmetries of the equation, allowing us to transform the partial differential equation into an ordinary differential equation by using the symmetry reductions. Furthermore, we determine the conservation laws of this equation by applying the multiplier method.

ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE

1999 ◽  
Vol 02 (01) ◽  
pp. 101-111 ◽  
Author(s):  
LIXIN WU ◽  
YUE KUEN KWOK ◽  
HONG YU
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Integral Representation ◽  
Asian Option ◽  
Asian Options ◽  
Partial Differential ◽  
Early Exercise ◽  
Equation Formulation ◽  
Option Model ◽  
Early Exercise Premium

By appropriate scaling of the variables, the reduction in the dimensionality of the partial differential equation formulation of an American-style Asian option model is achieved. The integral representation of the early exercise premium can be obtained in a succinct manner. The exercise policy of Asian options with the early exercise provision can then be examined.

scholarly journals Analytical solution to bending of stiffened and continuous antisymmetric laminates

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
Liecheng Sun ◽  
Issam E. Harik
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Analytical Solution ◽  
Displacement Function ◽  
The Other ◽  
Order Partial Differential Equation ◽  
Eighth Order ◽  
Coupling Problem ◽  
Simply Supported ◽  
General Response

AbstractAnalytical Strip Method is presented for the analysis of the bending-extension coupling problem of stiffened and continuous antisymmetric thin laminates. A system of three equations of equilibrium, governing the general response of antisymmetric laminates, is reduced to a single eighth-order partial differential equation (PDE) in terms of a displacement function. The PDE is then solved in a single series form to determine the displacement response of antisymmetric cross-ply and angle-ply laminates. The solution is applicable to rectangular laminates with two opposite edges simply supported and the other edges being free, clamped, simply supported, isotropic beam supports, or point supports.

scholarly journals Symmetry determination and nonlinearization of a nonlinear time-fractional partial differential equation

2020 ◽  
Vol 476 (2233) ◽  
pp. 20190564
Author(s):  
Zhi-Yong Zhang
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Lie Algebra ◽  
Infinitesimal Generator ◽  
Linear Time ◽  
Lie Symmetry ◽  
Fractional Partial Differential Equation ◽  
Partial Differential ◽  
Fractional Pde ◽  
Leading Position

We first show that the infinitesimal generator of Lie symmetry of a time-fractional partial differential equation (PDE) takes a unified and simple form, and then separate the Lie symmetry condition into two distinct parts, where one is a linear time-fractional PDE and the other is an integer-order PDE that dominates the leading position, even completely determining the symmetry for a particular type of time-fractional PDE. Moreover, we show that a linear time-fractional PDE always admits an infinite-dimensional Lie algebra of an infinitesimal generator, just as the case for a linear PDE and a nonlinear time-fractional PDE admits, at most, finite-dimensional Lie algebra. Thus, there exists no invertible mapping that converts a nonlinear time-fractional PDE to a linear one. We illustrate the results by considering two examples.

Voltage Response of Superharmonic Resonance of Electrostatically Actuated MEMS Resonators: Comparison Between Boundary Value Problem Model and Reduced Order Model

2018 ◽  
Author(s):  
Julio Beatriz ◽  
Martin Botello ◽  
Dumitru I. Caruntu
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Boundary Value ◽  
Mode Shapes ◽  
Voltage Response ◽  
Order Model ◽  
Partial Differential ◽  
Reduced Order ◽  
Electrostatically Actuated ◽  
Modes Of Vibration

This paper deals with the voltage response of electrostatically actuated NEMS resonators at superharmonic resonance. In this work a comparison between Boundary Value Problem (BVP) model, and Reduced Order Model (ROM) is conducted for this type of resonance. BVP model is developed from the partial differential equation by replacing the time derivatives with finite differences. So, the partial differential equation is replaced by a sequence of boundary value problems, one for each step in time. Matlab’s function bvp4c is used to numerically integrate the BVPs. ROMs are based on Galerkin procedure and use the mode shapes of the resonator as a basis of functions. Therefore, the partial differential equation is replaced by a system of differential equations in time. The number of the equations in the system is equal to the number of mode shapes (or modes of vibration) used in the ROM. One mode of vibration ROM is solved using the method of multiple scales. Two modes of vibration ROM is numerically integrated using Matlab’s function ode15s in order to obtain time responses, and a continuation and bifurcation analysis is conducted using AUTO 07P. The effects of different nonlinearities in the system on the voltage response are reported. This work shows that BVP model is a valid method to predict the voltage response of a micro/nano cantilevers.

scholarly journals Geometric shape features extraction using a steady state partial differential equation system

2019 ◽  
Vol 6 (4) ◽  
pp. 647-656 ◽  
Author(s):  
Takayuki Yamada
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Steady State ◽  
Analytical Solution ◽  
Geometric Shape ◽  
Geometrical Shape ◽  
Shape Features ◽  
Partial Differential ◽  
Topological Constraint ◽  
Numerical Examples

Abstract A unified method for extracting geometric shape features from binary image data using a steady-state partial differential equation (PDE) system as a boundary value problem is presented in this paper. The PDE and functions are formulated to extract the thickness, orientation, and skeleton simultaneously. The main advantage of the proposed method is that the orientation is defined without derivatives and thickness computation is not imposed a topological constraint on the target shape. A one-dimensional analytical solution is provided to validate the proposed method. In addition, two-dimensional numerical examples are presented to confirm the usefulness of the proposed method. Highlights A steady state partial differential equation for extraction of geometrical shape features is formulated. The functions for geometrical shape features are formulated by the solution of the proposed PDE. Analytical solution is provided in one-dimension. Numerical examples are provided in two-dimension.

scholarly journals Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients

2011 ◽  
Vol 2011 ◽  
pp. 1-6 ◽  
Author(s):  
Zieneb Ali Elshegmani ◽  
Rokiah Rozita Ahmad ◽  
Saiful Hafiza Jaaman ◽  
Roza Hazli Zakaria
Keyword(s):  
Parabolic Equation ◽  
Analytical Solution ◽  
Heat Equation ◽  
Numerical Solution ◽  
Closed Form ◽  
Asian Option ◽  
Asian Options ◽  
New Approach ◽  
Constant Coefficients ◽  
Closed Form Analytical Solution

Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-form analytical solution to price them. Transforming the PDE of the arithmetic the Asian option to a heat equation with constant coefficients is found to be difficult or impossible. Also, the numerical solution of the arithmetic Asian option PDE is not very accurate since the Asian option has low volatility level. In this paper, we analyze the value of the arithmetic Asian option with a new approach using means of partial differential equations (PDEs), and we transform the PDE to a parabolic equation with constant coefficients. It has been shown previously that the PDE of the arithmetic Asian option cannot be transformed to a heat equation with constant coefficients. We, however, approach the problem and obtain the analytical solution of the arithmetic Asian option PDE.

scholarly journals Comparison of Analytical Solution of DGLAP Equations forF2NS(x,t)at Smallxby Two Methods

2013 ◽  
Vol 2013 ◽  
pp. 1-10 ◽  
Author(s):  
Neelakshi N. K. Borah ◽  
D. K. Choudhury ◽  
P. K. Sahariah
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Analytical Solution ◽  
Structure Function ◽  
Method Of Characteristics ◽  
Dglap Equation ◽  
Partial Differential ◽  
Chi Square ◽  
Data Set ◽  
The Method Of Characteristics

The DGLAP equation for the nonsinglet structure functionF2NS(x,t)at LO is solved analytically at lowxby converting it into a partial differential equation in two variables: Bjorkenxandt  (t=ln(Q2/Λ2)and then solved by two methods: Lagrange’s auxiliary method and the method of characteristics. The two solutions are then compared with the available data on the structure function. The relative merits of the two solutions are discussed calculating the chi-square with the used data set.

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