Conservation laws for the Black-Scholes equation
DOI10.1016/J.NONRWA.2008.10.064zbMATH Open1181.60107OpenAlexW2028868117MaRDI QIDQ1036760FDOQ1036760
Authors: R. M. Edelstein, K. 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
Recommendations
- scientific article; zbMATH DE number 5944422
- On Black-Scholes equation; method of heir-equations, nonlinear self-adjointness and conservation laws
- Symmetries of the Black-Scholes-Merton equation for European options
- Equivalence and new exact solutions to the Black Scholes and diffusion equations
- Symmetry Breaking for Black–Scholes Equations
Geometric theory, characteristics, transformations in context of PDEs (35A30) 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)
Cites Work
- LIE, a PC program for Lie analysis of differential equations
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- New classes of Schrödinger equations equivalent to the free particle equation through non-local transformations
- Title not available (Why is that?)
- Symmetries and differential equations
- Title not available (Why is that?)
- Local symmetries and conservation laws
- Nonclassical symmetry reductions of the Boussinesq equation.
- A new conservation theorem
- Relationship between symmetries and conservation laws
- Lie symmetry analysis of differential equations in finance
- Nonlocal trends in the geometry of differential equations: Symmetries, conservation laws, and Bäcklund transformations
- Similarity methods for differential equations
- Noether-type symmetries and conservation laws via partial Lagrangians
- A basis of conservation laws for partial differential equations
- Nonlocal symmetries and the theory of coverings: An addendum to A. M. Vinogradov's 'Local Symmetries and Conservation Laws'
- Double reduction of PDEs from the association of symmetries with conservation laws with applications
- Use and construction of potential symmetries
- New classes of symmetries for partial differential equations
- Potential symmetries of nonlinear diffusion - convection equations
- Potential symmetries of a porous medium equation
- Symmetries and conservation laws of partial differential equations: Basic notions and results
- Review of symbolic software for Lie symmetry analysis
- Potential symmetries of the nonlinear wave equationutt= (uux)xand related exact and approximate solutions
- Potential symmetries and new solutions of a simplified model for reacting mixtures
- Potential symmetries and solutions by reduction of partial differential equations
Cited In (9)
- Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
- On Black-Scholes equation; method of heir-equations, nonlinear self-adjointness and conservation laws
- Conserved quantities for a class of \((1 + n)\)-dimensional linear evolution equation
- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
- Group-theoretical framework for potential symmetries of evolution equations
- Symmetries of the Black-Scholes-Merton equation for European options
- Closed-form solutions via the invariant approach for one-factor commodity models
- Some weak self-adjoint Hamilton-Jacobi-Bellman equations arising in financial mathematics
- Symmetry of stochastic non-variational differential equations
Uses Software
This page was built for publication: Conservation laws for the Black-Scholes equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1036760)
