학술논문
Invariant solutions of the Heston model for European option with dividend yield.
Document Type
Journal
Author
Tang, H. S. (MAL-TUMTCT-MDS) AMS Author Profile; Chong, K. Y. (MAL-TUMTCT-MDS) AMS Author Profile; Kee, B. H. (MAL-TUMTCT-MDS) AMS Author Profile
Source
Subject
35 Partial differential equations -- 35Q Equations of mathematical physics and other areas of application
35Q91PDEs in connection with game theory, economics, social and behavioral sciences
35Q91
Language
English
Abstract
Summary: ``In this paper, Lie symmetry analysis is exploited to solve the Heston model with stock dividend which defined in a partial differential equation (PDE) by determining the infinitesimal generators. With the infinitesimal generators found, the invariant solutions are obtained through the introduced similarity variables by solving the characteristic equations is suggested.''