Symmetries, Mellin Transform and the Black-Scholes Equation (A Nonlinear Case)
نویسنده
چکیده
Using the symmetry group that was found in [1] and further studied in [2], in this work we study the partial differential equation of the Black-Scholes model [3] and relate such symmetries with the Mellin transform to find the price of an european like investment option. We also consider the Black-Schoes-Merton equation in the non-linear case that models investments in which volatility is a function of transaction cost.
منابع مشابه
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تاریخ انتشار 2014