  In this paper, we show that a time-dependent local stochastic volatility
(SLV) model can be reduced to a system of autonomous PDEs that can be solved
using the Heat kernel, by means of the Wei-Norman factorization method and Lie
algebraic techniques. Then, we compare the results of traditional Monte Carlo
simulations with the explicit solutions obtained by said techniques. This
approach is new in the literature and, in addition to reducing a non-autonomous
problem into an autonomous one, allows for reduced time in numerical
computations.
