Exact solutions via invariant approach for Black‐Scholes model with time‐dependent parameters

DOI10.1002/mma.4903zbMath1396.35024MaRDI QIDQ4581083

Rehana Naz, Andrew Gratien Johnpillai

Publication date: 23 August 2018

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.4903

zbMATH Keywords

exact solutions; Lie symmetries; invariant approach; Black-Scholes model with time-dependent parameters

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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

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