Symmetry Breaking for Black–Scholes Equations
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Publication:2960054
DOI10.1088/0253-6102/47/6/006zbMath1355.35185OpenAlexW2052655669MaRDI QIDQ2960054
Chang-Zheng Qu, Shunli Zhang, Xuan-Liu Yang
Publication date: 7 February 2017
Published in: Communications in Theoretical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0253-6102/47/6/006
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (1)
Cites Work
- The Pricing of Options and Corporate Liabilities
- Optimal systems and group classification of \((1+2)\)-dimensional heat equation
- Exact similarity solutions of ideal MHD equations for plane motions
- Optimal systems and invariant solutions for the curve shortening problem
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- Market Volatility and Feedback Effects from Dynamic Hedging
- Symmetry groups and similarity solutions of MHD equations
- Symmetry breaking interactions for the time dependent Schrödinger equation
- Evolution equations invariant under two-dimensional space–time Schrödinger group
- Allowed transformations and symmetry classes of variable coefficient Burgers equations
- The Mathematics of Financial Derivatives
- Symmetries and differential equations
- A note on optimal systems for the heat equation
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