TAYLOR, STEPHEN; GLASGOW, SCOTT - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1197-1212
We develop the complete 6-dimensional classical symmetry group of the partial differential equation (PDE) that governs the fair price of a simple Asian option within a simple market model. The symmetries we expose include the 5-dimensional symmetry group partially noted by Rogers and Shi, and...