Symmetries of the Black-Scholes equation

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2012Embargo end date: 01 Jan 2011 France English Publisher:International Press of BostonJournal:Methods and Applications of Analysis, volume 19, pages 147-160 (issn: 1073-2772, eissn: 1945-0001,

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Authors: Lescot, Paul;

doi: 10.4310/maa.2012.v19.n2.a3 , 10.48550/arxiv.1110.6170

arXiv: 1110.6170

Symmetries of the Black-Scholes equation

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Abstract

We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.

Country

France

Related Organizations

Laboratoire de Mathématiques Raphaël Salem
France
University of Rouen
France
Normandie Université
France

Keywords

[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], FOS: Economics and business, Quantitative Finance - Computational Finance, Probability (math.PR), FOS: Mathematics, Computational Finance (q-fin.CP), Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities, Mathematics - Probability, 510

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