Symmetries of the Black-Scholes equation

DOI10.4310/MAA.2012.V19.N2.A3MaRDI QIDQ390195zbMATH OpenFDO

Authors Paul Lescot

Publication date 22 January 2014

Published in Methods and Applications of Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.6170, http://intlpress.com/site/pub/pages/journals/items/maa/content/vols/0019/0002/a003/index.html

zbMATH Keywords

Lie algebrasalgebro-geometrical structureisovectors

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Symmetries, invariants, etc. in context of PDEs (35B06) Second-order parabolic equations (35K10)

Abstract: We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.

Cited in

(8)

• scientific article; zbMATH DE number 6611191 (Why is no real title available?)
• The algebraic properties of the space- and time-dependent one-factor model of commodities
• scientific article; zbMATH DE number 5944422 (Why is no real title available?)
• Bernstein processes, isovectors and mechanics
• Symmetry Breaking for Black–Scholes Equations
• Symmetry of stochastic non-variational differential equations
• Symmetry reduction and exact solutions of the non-linear Black-Scholes equation
• Symmetries of the backward heat equation with potential and interest rate models

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