Symmetries of the Black-Scholes-Merton equation for European options

DOI10.1134/S1995080223040042zbMATH Open1521.91355arXiv2212.12476MaRDI QIDQ6133573FDOQ6133573

L. N. Bakirova, Vadim V. jun. Shurygin, M. A. Shurygina

Publication date: 18 August 2023

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Abstract: The aim of the present paper is the clarification of the result of A. Paliathanasis, K. Krishnakumar, K.M. Tamizhmani and P.G.L. Leach on the symmetry Lie algebra of the Black-Scholes-Merton equation for European options.

Full work available at URL: https://arxiv.org/abs/2212.12476

zbMATH Keywords

Black-Scholes-Merton equationsymmetries of PDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Symmetries, invariants, etc. in context of PDEs (35B06)

Cites Work

• The pricing of options and corporate liabilities
• Lie symmetry analysis of differential equations in finance
• Group classification of a generalized Black-Scholes-Merton equation
• Invariance properties of a general bond-pricing equation
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility

Cited In (3)

• Symmetry Breaking for Black–Scholes Equations
• Symmetry reduction and exact solutions of the non-linear Black-Scholes equation
• Title not available (Why is that?)

   Recommendations

• Title not available (Why is that?) 👍 👎
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility 👍 👎
• Title not available (Why is that?) 👍 👎
• Symmetry Breaking for Black–Scholes Equations 👍 👎
• Conservation laws for the Black-Scholes equation 👍 👎

This page was built for publication: Symmetries of the Black-Scholes-Merton equation for European options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6133573)