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- W3124360094 abstract "Based upon the Wei-Norman theorem, this paper presents a Lie-algebraic technique for the pricing of 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 method for the valuation of financial derivatives." @default.
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- W3124360094 date "2001-01-01" @default.
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- W3124360094 title "Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach" @default.
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- W3124360094 doi "https://doi.org/10.1080/713665552" @default.
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