Group classification of a generalized Black-Scholes-Merton equation

被引：12

作者：

Bozhkov, Y. ^{[1
]}

Dimas, S. ^{[1
]}

机构：

[1] Univ Estadual Campinas, UNICAMP, Inst Matemat Estat & Computacao Cient IMECC, BR-13083859 Campinas, SP, Brazil

来源：

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2014年 / 19卷 / 07期

基金：

巴西圣保罗研究基金会;

关键词：

Black-Scholes-Merton equation; Lie point symmetry; Group classification; Computer assisted research; DIFFERENTIAL-EQUATIONS; SYMMETRY ANALYSIS; LIE; TRANSFORMATIONS;

D O I：

10.1016/j.cnsns.2013.12.016

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The complete group classification of a generalization of the Black-Scholes-Merton model is carried out by making use of the underlying equivalence and additional equivalence transformations. For each nonlinear case obtained through this classification, invariant solutions are given. To that end, two boundary conditions of financial interest are considered, the terminal and the barrier option conditions. (C) 2013 Elsevier B. V. All rights reserved.

引用

页码：2200 / 2211

页数：12

共 32 条

[1]

[Anonymous], 1990, Differential equations their solution using symmetries

[2]

Baumann G., 2000, Symmetry analysis of differential equations with Mathematica

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].