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

DOI10.1002/MMA.4903zbMath1396.35024OpenAlexW2801532591WikidataQ129913367 ScholiaQ129913367MaRDI 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 solutionsLie symmetriesinvariant approachBlack-Scholes model with time-dependent parameters

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries ⋮ A terminal condition in linear bond-pricing under symmetry invariance ⋮ The Black-Scholes equation in finance: quantum mechanical approaches

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