The Riccati Equation in Mathematical Finance

  title={The Riccati Equation in Mathematical Finance},
  author={Phelim P. Boyle and Wenwen Tian and Fred Guan},
  journal={J. Symb. Comput.},
This paper uses ideas from symbolic computation to classify solutions to an important class of problems in mathematical finance and thus provides a linkage between these two fields. We show that Kovacic?s concept of closed-form solutions to the Riccati ordinary differential equation can be used to provide a precise mathematical definition that is useful in certain financial models. We extend this definition to a broader class of problems and discuss how these ideas can be usefully applied to… 
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