Application of Lie Symmetry method in pricing Arithmetic Asian options

Kubeletsane, Monts'uoe Edward

dc.contributor.author	Kubeletsane, Monts'uoe Edward
dc.date.accessioned	2024-10-15T14:05:49Z
dc.date.available	2024-10-15T14:05:49Z
dc.date.issued	2024-06-23
dc.identifier.uri	https://hdl.handle.net/20.500.14155/2127
dc.description.abstract	This research investigates the application of Lie symmetry method to find analytic solutions for arithmetic Asian options, which are crucial financial derivatives for managing risk in various commodity markets. By employing a two state partial differential equation approach, the study uses Lie symmetry method to enhance option pricing models. The research involves finding determining equations, infinitesimal generators, and invariant solutions, as well as examining the influence of parameters such as volatility, interest rates, and time on option prices.	en
dc.description.sponsorship	National Manpower Development Secretariat	en
dc.language.iso	en	en
dc.publisher	National University of Lesotho	en
dc.subject	Arithmetic Asian options Risk management Commodity markets Lie symmetry Option pricing models Financial derivatives Interest rates Invariant solutions Partial differential equation	en
dc.title	Application of Lie Symmetry method in pricing Arithmetic Asian options	en
dc.type	Master's Thesis	en