LAURENCE, PETER; WANG, TAI-HO - In: International Journal of Theoretical and Applied … 08 (2005) 08, pp. 1059-1083
We find fundamental solutions in closed form for a family of parabolic equations with two spatial variables, whose symmetry groups had been determined in an earlier paper by Finkel [12]. We show how these results can be applied in finance to yield closed form solutions for special affine and...