Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
From MaRDI portal
Publication:827484
DOI10.3934/dcdss.2020122zbMath1451.76101OpenAlexW2985940241WikidataQ126837859 ScholiaQ126837859MaRDI QIDQ827484
Publication date: 12 January 2021
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2020122
Hyperbolic conservation laws (35L65) Exact solutions to problems in general relativity and gravitational theory (83C15) Symmetry analysis, Lie group and Lie algebra methods applied to problems in fluid mechanics (76M60)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
- [SADE a Maple package for the symmetry analysis of differential equations]
- Nonlocal trends in the geometry of differential equations: Symmetries, conservation laws, and Bäcklund transformations
- GeM software package for computation of symmetries and conservation laws of differential equations
- Nonlocal symmetries and the theory of coverings: An addendum to A. M. Vinogradov's 'Local Symmetries and Conservation Laws'
- Computation of fluxes of conservation laws
- Applications of symmetry methods to partial differential equations
- Conservation laws for the Black-Scholes equation
- On the Noether map
- Nonlocal symmetries. Heuristic approach
- Computer algebra algorithms and routines for the computation of conservation laws and fixing of gauge in differential expressions
- Lie symmetry analysis of differential equations in finance
- Use and construction of potential symmetries
- Non-local symmetries and conservation laws for one-dimensional gas dynamics equations.
- Comparison of different approaches to construct first integrals for ordinary differential equations
- Finding higher symmetries of differential equations using the MAPLE package DESOLVII
- Closed-form solutions for the Lucas-Uzawa model of economic growth via the partial Hamiltonian approach
- A partial Hamiltonian approach for current value Hamiltonian systems
- A recursion formula for the construction of local conservation laws of differential equations
- Comparison of different approaches to conservation laws for some partial differential equations in fluid mechanics
- An alternative approach to solving the Black-Scholes equation with time-varying parameters
- Hierarchy of conservation laws of diffusion-convection equations
- Framework for potential systems and nonlocal symmetries: Algorithmic approach
- Framework for nonlocally related partial differential equation systems and nonlocal symmetries: Extension, simplification, and examples
- New classes of symmetries for partial differential equations
- Potential symmetries of a porous medium equation
- A comparison of four approaches to the calculation of conservation laws
- Exact solutions via invariant approach for Black‐Scholes model with time‐dependent parameters
- Potential symmetries and solutions by reduction of partial differential equations
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
- Continuous and Discrete Homotopy Operators and the Computation of Conservation Laws
This page was built for publication: Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
