Invariant Solutions and Conservation Laws of the Black-Scholes Equation
نویسندگان
چکیده
منابع مشابه
On Black-Scholes equation; method of Heir-equations, nonlinear self-adjointness and conservation laws
In this paper, Heir-equations method is applied to investigate nonclassical symmetries and new solutions of the Black-Scholes equation. Nonlinear self-adjointness is proved and infinite number of conservation laws are computed by a new conservation laws theorem.
متن کاملon black-scholes equation; method of heir-equations, nonlinear self-adjointness and conservation laws
in this paper, heir-equations method is applied to investigate nonclassical symmetries and new solutions of the black-scholes equation. nonlinear self-adjointness is proved and infinite number of conservation laws are computed by a new conservation laws theorem.
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In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
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The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...
متن کاملOn analytical solutions of the Black-Scholes equation
This work presents a theoretical analysis for the Black–Scholes equation. Given a terminal condition, the analytical solution of the Black–Scholes equation is obtained by using the Adomian approximate decomposition technique. The mathematical technique employed in this work also has significance in studying some other problems in finance theory.
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ژورنال
عنوان ژورنال: Mathematical and Computational Applications
سال: 2003
ISSN: 2297-8747
DOI: 10.3390/mca8010063