Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion

DOI10.1515/jaa-2023-0107zbMath1541.35513MaRDI QIDQ6557966

Jicheng Yu

Publication date: 18 June 2024

Published in: Journal of Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

conservation lawsfractional Brownian motionexact solutionsLie symmetry analysistime fractional Black-Scholes equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Lie (super)algebras to physics, etc. (17B81) Solutions to PDEs in closed form (35C05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Symmetries, invariants, etc. in context of PDEs (35B06)

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