Group classification of a generalization of the Heath equation

DOI10.1016/J.AMC.2014.05.100MaRDI QIDQ279866zbMATH OpenOpenAlexFDO

Authors Yuri Bozhkov, S. Dimas

Publication date 29 April 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.0139

zbMATH Keywords

barrier optioncomputer assisted researchgroup classificationHeath equationLie point symmetry

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10)

Abstract: The complete group classification of a generalization of the Heath model is carried out by connecting it to the heat equation with nonlinear source. Examples of invariant solutions are given under the terminal and the barrier option condition.

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Cited in

(5)

• Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
• Group classification of a generalized Black-Scholes-Merton equation
• Group classification of a generalization of the Heath equation
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
• The Miller-Weller equation: complete group classification and conservation laws

Describes a project that uses

Uses Software

• REDUCE
• LIE
• SYM

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