Lie symmetry analysis, and exact solutions to the time-fractional Black-Scholes equation of the Caputo-type

被引：0
|
作者：
Najafi, Ramin [1 ]
Bahrami, Fariba [2 ]
Vafadar, Parisa [2 ]
机构：
[1] Islamic Azad Univ, Dept Math, Maku Branch, Maku, Iran
[2] Univ Tabriz, Fac Math & Comp Sci, Tabriz, Iran
来源：
COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS | 2024年 / 12卷 / 04期
关键词：
Lie symmetry analysis; Time-fractional Black-Scholes equation; Caputo fractional derivative; Invariant solutions; INVARIANT SOLUTIONS; CONSERVATION-LAWS; KDV;
D O I：
10.22034/CMDE.2024.59096.2510
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this study, the Lie symmetry analysis, and exact solutions are investigated to the fractional Black-Scholes(B-S) equations of the Caputo-type modeling of the pricing options under the absence of arbitrage and self-financing portfolio assumptions. A class of exact invariant and solitary solutions are given to B-S equations. Some examples are presented in which we use the obtained reductions to find their exact solutions.
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页码：638 / 650
页数：13
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