Invariant Solutions of Black–Scholes Equation with Ornstein–Uhlenbeck Process

نویسندگان

چکیده

This paper analyses the model of Black–Scholes option pricing from point view group theoretic approach. The study identified new independent variables that lead to transformation equation. Furthermore, corresponding determining equations were constructed and symmetries found. As a result, findings demonstrate integrability present an invariant solution for Ornstein–Uhlenbeck stochastic process.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Group Invariant Solutions of Burgers-Poisson Equation

In this paper, a nonlinear dispersive wave equation Burgers-Poisson (BP) equation is considered. We present a classification of group invariant solutions for the BP equation by using classical Lie method. Mathematics Subject Classification; 35Q53

متن کامل

Classification of invariant solutions of the Boltzmann equation

An isomorphism of the Lie algebras L11 admissible by the full Boltzmann kinetic equation with an arbitrary differential cross section and by the Euler gas dynamics system of equations with a general state equation is set up. The similarity is also proved between extended algebras L12 admissible by the same equations for specified power-like intermolecular potentials and for polytropic gas. This...

متن کامل

Invariant solutions of the supersymmetric sine–Gordon equation

A comprehensive symmetry analysis of the N = 1 supersymmetric sine–Gordon equation is performed. Two different forms of the supersymmetric system are considered. We begin by studying a system of partial differential equations corresponding to the coefficients of the various powers of the anticommuting independent variables. Next, we consider the supersine-Gordon equation expressed in terms of a...

متن کامل

Uniqueness of Solutions of the Stochastic Navier–stokes Equation with Invariant Measure given by the Enstrophy

A stochastic Navier–Stokes equation with space-time Gaussian white noise is considered, having as infinitesimal invariant measure a Gaussian measure µν whose covariance is given in terms of the enstrophy. Pathwise uniqueness for µν-a.e. initial velocity is proven for solutions having µν as invariant measure. 1. Introduction. We are interested in the stochastic Navier–Stokes equation with a spac...

متن کامل

Solutions of diffusion equation for point defects

An analytical solution of the equation describing diffusion of intrinsic point defects in semiconductor crystals has been obtained for a one-dimensional finite-length domain with the Robin-type boundary conditions. The distributions of point defects for different migration lengths of defects have been calculated. The exact analytical solution was used to verify the approximate numerical solutio...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Symmetry

سال: 2021

ISSN: ['0865-4824', '2226-1877']

DOI: https://doi.org/10.3390/sym13050847