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Asian options incorporate the average stock price in the terminal payoff. Examination of the Asian option partial differential equation (PDE) has resulted in many equations of reduced order that in general can be mapped into each other, although this is not always shown. In the literature these reductions and mappings are typically acquired via inspection or ad hoc methods. In this paper, we evaluate the classical Lie point symmetries of the Asian option PDE. We subsequently use these symmetries with Lie's systematic and algorithmic methods to show that one can obtain the same aforementioned results. In fact we find a familiar analytical solution in terms of a Laplace transform. Thus, when coupled with their methodic virtues, the Lie techniques reduce the amount of intuition usually required when working with differential equations in finance.

The inheritance of symmetries of partial differential equations occurs in a different manner from that of ordinary differential equations. In particular, the Lie algebra of the symmetries of a partial differential equation is not sufficient to predict the symmetries that will be inherited by a resulting reduced partial (or ordinary) differential equation. We show how this suggests a possible source of Type I hidden symmetries of partial differential equations as well as provide interesting consequences for solutions of partial differential equations.