Lie symmetries of the Black-Scholes equation
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Date
2010
Authors
REFET POLAT
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Abstract
In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literature for Black-Scholes equation we expanded the equation into a parametric form by adding a coefficient a. By using this expansion the dimension of the solution spaces is increased by one and symmetry reduction will be done with the deterministic equations in the new increased solution spaces.
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Matematik
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Citation
1. Baumann G. MathLie a program of doing Symmetry Analysis Math. Comput. Simulation 48. no.2205-223(2002).2. Burde G.I. Expand Lie Group Transformations and Similarity Reductions of Differential Equations Proc.Ins.Math.NAS of UkraineVol.43PartI93-101(2002).3. Ibragimov StateN.H. GazizovR.K. Lie Symmetry Analysis of Differential Equations in Finance. Nonlinear Dynamics 17:387-407(1998).4. Kiraz F.A. Kısmi Türevli Diferansiyel Denklemlerin Lie Simetrileri Üzerine Doktora Tezi Ege Üniversitesi 108 p (2007) (unpublished).5. Silberberg G. Discrete Symmetries of the Black Scholes Proceedings of 10th International Conference in Modern Analysis6. Singh J.P. Parabakaran S. Group Properties of the Black-Scholes Equation & its Solution Electronic Journal of Theoritical Physics EJTP 5 No.18 (2008) 51-60.7. Yan Xuan Liu Zhang Shun-Li QU Chang Zheng. Symmetry Breaking for Black- Scholes Equations. Commun.Theor.Phys. 47 (2007) pp. 995-1000
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Source
Türkiye Klinikleri Psikiyatri Dergisi
Volume
11
Issue
2
Start Page
85
End Page
91
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