Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters

DOI10.1016/j.amc.2014.08.087zbMath1338.35432MaRDI QIDQ297689

F. Blanchet-Sadri, M. Dambrine

Publication date: 17 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.08.087

zbMATH Keywords

Black-Scholes equation; symmetry analysis; financial mathematics

Mathematics Subject Classification ID

35A30: Geometric theory, characteristics, transformations in context of PDEs

35K10: Second-order parabolic equations

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

Uses Software

• SYM