Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
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Publication:297689
DOI10.1016/j.amc.2014.08.087zbMath1338.35432OpenAlexW2110288413MaRDI QIDQ297689
F. Blanchet-Sadri, M. Dambrine
Publication date: 17 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2014.08.087
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 (6)
Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries ⋮ Closed-form solutions via the invariant approach for one-factor commodity models ⋮ Optimal system, similarity solution and Painlevé test on generalized modified Camassa-Holm equation ⋮ Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics ⋮ Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility ⋮ The algebraic properties of the space-and time-dependent one-factor model of commodities
Uses Software
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