Group classification of a generalization of the Heath equation

DOI10.1016/J.AMC.2014.05.100zbMath1335.35005arXiv1310.0139OpenAlexW2057731965MaRDI QIDQ279866

Yuri Dimitrov Bozhkov, Stylianos Dimas

Publication date: 29 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.0139

zbMATH Keywords

group classificationbarrier optionLie point symmetrycomputer assisted researchHeath equation

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10)

Related Items (3)

Group classification of a generalization of the Heath equation ⋮ Enhanced group analysis of a semi linear generalization of a general bond-pricing equation ⋮ Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility

Uses Software

• REDUCE
• SYM
• LIE

Cites Work

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