Exact solutions via invariant approach for Black‐Scholes model with time‐dependent parameters
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Publication:4581083
DOI10.1002/mma.4903zbMath1396.35024MaRDI QIDQ4581083
Rehana Naz, Andrew Gratien Johnpillai
Publication date: 23 August 2018
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.4903
exact solutions; Lie symmetries; invariant approach; Black-Scholes model with time-dependent parameters
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
35A30: Geometric theory, characteristics, transformations in context of PDEs
35K10: Second-order parabolic equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences