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Lie symmetries of the Black-Scholes type equations in financial mathematics
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-4554-6528
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
2017 (English)In: Proceedings ASMDA2017 / [ed] Skiadas, Christos H., ISAST: International Society for the Advancement of Science and Technology , 2017Conference paper, Published paper (Refereed)
Abstract [en]

In this paper, we consider a two-dimensional Black--Scholes model of financial mathematics. Using Lie theory, we determine the generators of the symmetrygroup of the corresponding Feynman--Kac partial differential equation.

Place, publisher, year, edition, pages
ISAST: International Society for the Advancement of Science and Technology , 2017.
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-45225OAI: oai:DiVA.org:mdh-45225DiVA, id: diva2:1351548
Conference
17th Applied Stochastic Models and Data Analysis International Conference with Demographics Workshop
Available from: 2019-09-16 Created: 2019-09-16 Last updated: 2019-10-14Bibliographically approved

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Muhumuza, Asaph KeikaraSilvestrov, SergeiMalyarenko, Anatoliy

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