In this work, the option pricing Black-Scholes model with dividend yield is investigated via Lie symmetry analysis. As a result, the complete Lie symmetry group and infinitesimal generators of the one-dimensional Black-Scholes equation are derived. On the basis of these infinitesimal generators, the
β¦ LIBER β¦
Option pricing theory for financial assets with memory
β Scribed by M. Schulz
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 182 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0003-3804
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## Abstract This study extends the longβterm temperature model proposed by Alaton et al. (2002) by taking into account ARCH/GARCH effects to reflect the clustering of volatility in temperature. The fixed variance model and the ARCH model are estimated using Taiwan weather data from 1974 through 200