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https://doi.org/10.1063/1.5125...
Article . 2019 . Peer-reviewed
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Lie symmetry analysis of a fractional Black-Scholes equation

Authors: Kam Yoon Chong; John G. O’Hara;

Lie symmetry analysis of a fractional Black-Scholes equation

Abstract

In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14]. In this paper, Lie symmetry analysis of a time fractional Black-Scholes equation with Riemann-Liouville derivative is performed. The operators admitted are obtained and finally an example of the invariant solution of the equation is discussed.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
3
Top 10%
Average
Average
bronze