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- Published / Preprint: Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility. (arXiv:1508.06797v1 [math.AP])
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- Blog Post: ThePracticalQuant: Bridging the divide: Business users and machine learning experts
| Posted: 27 Aug 2015 05:36 PM PDT We perform a classification of the Lie point symmetries for the Black-Scholes-Merton model for European options with stochastic volatility $% \sigma$, in which the last is defined by a stochastic differential equation with the Orstein-Uhlenbeck term. In this model the value of the option is given by a linear (1+2) evolution partial differential equation, in which the price of the option... Visit MoneyScience for the Complete Article.      |
| Blog Post: iMFdirect: Under Pressure Posted: 27 Aug 2015 11:26 AM PDT By Jeff Haydenread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Bridging the divide: Business users and machine learning experts Posted: 27 Aug 2015 07:46 AM PDT Subscribe to the O'Reilly Data Show Podcast to explore the opportunities and techniques driving big data and data science.read more... Visit MoneyScience for the Complete Article.    |
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