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Lie symmetry methods for local volatility models
Institution:1. School of Mathematics, Institute of Science, Suranaree University of Technology, Nakhon Ratchasima, 30000, Thailand;2. School of Mathematics and Statistics, Guizhou University of Finance and Economics, Guiyang, 550025, Guizhou, China;3. Institute of Computational Technology, Novosibirsk, 630090, Russia;1. Department of Mathematics, Zhejiang Normal University, Jinhua, 321004, PR China;2. International Institute for Symmetry Analysis and Mathematical Modelling, North-West University, Mafikeng Campus, Private Bag X2046, Mmabatho 2735, Republic of South Africa;3. College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao, Shandong, 266590, China;4. Department of Mathematics and Informatics, Azerbaijan University, Jeyhun Hajibeyli str., 71, Baku, AZ1007, Azerbaijan
Abstract:
Keywords:Lie symmetries  Fundamental solution  PDEs  Local volatility models  Normal Quadratic Volatility Model  Hitting times
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