Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
From MaRDI portal
Publication:827484
DOI10.3934/dcdss.2020122zbMath1451.76101WikidataQ126837859 ScholiaQ126837859MaRDI QIDQ827484
Publication date: 12 January 2021
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2020122
35L65: Hyperbolic conservation laws
83C15: Exact solutions to problems in general relativity and gravitational theory
76M60: Symmetry analysis, Lie group and Lie algebra methods applied to problems in fluid mechanics
Related Items
Uses Software
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
- [SADE a Maple package for the symmetry analysis of differential equations]
- Nonlocal trends in the geometry of differential equations: Symmetries, conservation laws, and Bäcklund transformations
- GeM software package for computation of symmetries and conservation laws of differential equations
- Nonlocal symmetries and the theory of coverings: An addendum to A. M. Vinogradov's 'Local Symmetries and Conservation Laws'
- Computation of fluxes of conservation laws
- Applications of symmetry methods to partial differential equations
- Conservation laws for the Black-Scholes equation
- On the Noether map
- Nonlocal symmetries. Heuristic approach
- Computer algebra algorithms and routines for the computation of conservation laws and fixing of gauge in differential expressions
- Lie symmetry analysis of differential equations in finance
- Use and construction of potential symmetries
- Non-local symmetries and conservation laws for one-dimensional gas dynamics equations.
- Comparison of different approaches to construct first integrals for ordinary differential equations
- Finding higher symmetries of differential equations using the MAPLE package DESOLVII
- Closed-form solutions for the Lucas-Uzawa model of economic growth via the partial Hamiltonian approach
- A partial Hamiltonian approach for current value Hamiltonian systems
- A recursion formula for the construction of local conservation laws of differential equations
- Comparison of different approaches to conservation laws for some partial differential equations in fluid mechanics
- An alternative approach to solving the Black-Scholes equation with time-varying parameters
- Hierarchy of conservation laws of diffusion-convection equations
- Framework for potential systems and nonlocal symmetries: Algorithmic approach
- Framework for nonlocally related partial differential equation systems and nonlocal symmetries: Extension, simplification, and examples
- New classes of symmetries for partial differential equations
- Potential symmetries of a porous medium equation
- A comparison of four approaches to the calculation of conservation laws
- Exact solutions via invariant approach for Black‐Scholes model with time‐dependent parameters
- Potential symmetries and solutions by reduction of partial differential equations
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
- Continuous and Discrete Homotopy Operators and the Computation of Conservation Laws
