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Algebraic properties of evolution partial differential equations modelling prices of commodities

✍ Scribed by C. Sophocleous; P. G. L. Leach; K. Andriopoulos

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
122 KB
Volume
31
Category
Article
ISSN
0170-4214

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Schwartz (J. Finance 1997; 52:923–973) presented three models for the pricing of a commodity. The simplest was a variation on the Black–Scholes equation. The second allowed for a stochastic convenience yield on the commodity and the third added a stochastic variation in the underlying interest rate. We apply the techniques of Lie group analysis to resolve these equations, discuss their peculiar algebraic properties and indicate the route to the addition of other stochastic influences. Copyright Β© 2007 John Wiley & Sons, Ltd.

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