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

zbMATH Keywords

conservation lawspartial differential equationsBlack-Scholes equationpotential symmetries

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 478435 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3298041 (Why is no real title available?)
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• Relationship between symmetries and conservation laws
• Review of symbolic software for Lie symmetry analysis
• Similarity methods for differential equations
• Symmetries and conservation laws of partial differential equations: Basic notions and results
• Symmetries and differential equations
• The pricing of options and corporate liabilities
• Use and construction of potential symmetries

Cited in

(9)

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

Describes a project that uses

Uses Software

• SYMMGRP
• LIE

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