On Black-Scholes equation; method of heir-equations, nonlinear self-adjointness and conservation laws

zbMath1373.35315MaRDI QIDQ2412115

Yanyan Li

Publication date: 25 October 2017

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://bims.iranjournals.ir/article_843.html

zbMATH Keywords

conservation lawBlack-Scholes equationnonlinear self-adjointnessnonclassical symmetryHeir-equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

On new exact solutions of the generalized <scp>Fitzhugh–Nagumo</scp> equation with variable coefficients ⋮ Nonclassical symmetry analysis and heir-equations of forced Burger equation with time variable coefficients ⋮ On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation

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