Pricing Multi-Asset Financial Derivatives With Time-Dependent Parameters - Lie Algebraic Approach

In this paper we present a Lie-algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. By 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