Exact solutions and numerical simulation for Bakstein-Howison model

DOI10.22034/cmde.2021.42640.1834zbMath1491.91142OpenAlexW3165003365MaRDI QIDQ5076660

Hossein Sahebi Fard, Elham Dastranj

Publication date: 17 May 2022

Full work available at URL: https://cmde.tabrizu.ac.ir/article_12764_375a4b4b267d72da007b176b6680dc7e.pdf

zbMATH Keywords

finite difference methodtransaction costLie symmetriesBlack-Scholes models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Lie symmetries, exact solutions, and conservation laws of the nonlinear time-fractional Benjamin-Ono equation ⋮ Exact solutions of Diffusion Equation on sphere

Cites Work

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• Liquidity risk and arbitrage pricing theory
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• Symmetry properties, conservation laws, reduction and numerical approximations of time-fractional cylindrical-Burgers equation
• Symmetry reductions and exact solutions for a class of nonlinear PDEs
• Lie group analysis, Hamiltonian equations and conservation laws of Born–Infeld equation
• Numerical Approximation of Black-Scholes Equation
• ANALYTIC SOLUTION OF A NONLINEAR BLACK-SCHOLES EQUATION

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