Lie symmetry analysis of a first-order feedback model of option pricing

DOI10.1155/2015/361785zbMath1341.35168WikidataQ59102467 ScholiaQ59102467MaRDI QIDQ277917

Winter Sinkala, Tembinkosi F. Nkalashe

Publication date: 2 May 2016

Published in: Advances in Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/361785

zbMATH Keywords

Black-Scholes equation; Lie symmetry analysis; feddback

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Uses Software

• Mathematica
• LIE
• SPDE