Exact solutions and numerical simulation for Bakstein-Howison model

DOI10.22034/CMDE.2021.42640.1834MaRDI QIDQ5076660zbMATH OpenOpenAlexFDO

Authors Hossein Sahebi Fard, E. Dastranj

Publication date 17 May 2022

Full work available at URL https://cmde.tabrizu.ac.ir/article_12764_375a4b4b267d72da007b176b6680dc7e.pdf

zbMATH Keywords

Black-Scholes modelsfinite difference methodLie symmetriestransaction cost

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Analytic solution of a nonlinear Black-Scholes equation
• Exact solutions for Fokker-Planck equation of geometric Brownian motion with Lie point symmetries
• Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
• scientific article; zbMATH DE number 1414330 (Why is no real title available?)
• Lie group analysis, Hamiltonian equations and conservation laws of Born-Infeld equation
• Liquidity risk and arbitrage pricing theory
• New solutions for Fokker-Planck equation of special stochastic process via Lie point symmetries
• Numerical Approximation of Black-Scholes Equation
• Option pricing under the double stochastic volatility with double jump model
• Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)
• Symmetry properties, conservation laws, reduction and numerical approximations of time-fractional cylindrical-Burgers equation
• Symmetry reductions and exact solutions for a class of nonlinear PDEs

Cited in

(3)

• Lie symmetries, exact solutions, and conservation laws of the nonlinear time-fractional Benjamin-Ono equation
• Exact solutions of Diffusion Equation on sphere
• A novel fractional stochastic model equipped with -Caputo fractional derivative in a financial market

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