Conservation laws for the Black-Scholes equation

DOI10.1016/j.nonrwa.2008.10.064zbMath1181.60107OpenAlexW2028868117MaRDI QIDQ1036760

R. M. Edelstein, Keshlan S. Govinder

Publication date: 13 November 2009

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2008.10.064

zbMATH Keywords

conservation lawspartial differential equationsBlack-Scholes equationpotential symmetries

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Geometric theory, characteristics, transformations in context of PDEs (35A30)

Related Items (7)

Symmetry of stochastic non-variational differential equations ⋮ Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries ⋮ Lie symmetry reductions and exact solutions of an option-pricing equation for large agents ⋮ Closed-form solutions via the invariant approach for one-factor commodity models ⋮ Some weak self-adjoint Hamilton-Jacobi-Bellman equations arising in financial mathematics ⋮ Conserved quantities for a class of \((1 + n)\)-dimensional linear evolution equation ⋮ Group-theoretical framework for potential symmetries of evolution equations

Uses Software

• SYMMGRP
• LIE

Cites Work

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• A Basis of Conservation Laws for Partial Differential Equations
• Symmetries and differential equations
• LIE, a PC program for Lie analysis of differential equations

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