The Australian Journal of Mathematical Analysis and Applications


Home News Editors Volumes RGMIA Subscriptions Authors Contact

ISSN 1449-5910  

 

You searched for zondi
Total of 2 results found in site

2: Paper Source PDF document

Paper's Title:

Lie Group Theoretic Approach of One-Dimensional Black-Scholes Equation

Author(s):

P. L. Zondi and M. B. Matadi

Department of Mathematical sciences,
Faculty of Sciences & Agriculture, University of Zululand,
P Bag X1001, Kwa-Dlangezwa 3886,
South Africa.
E-mail: matadim@unizulu.ac.za
zondip@unizulu.ac.za

Abstract:

This study discusses the Lie Symmetry Analysis of Black-Scholes equation via a modified local one-parameter transformations. It can be argued that the transformation of the Black-Scholes equation is firstly obtained by means of riskless rate. Thereafter, the corresponding determining equations to the reduced equation are found. Furthermore, new symmetries of the Black-Scholes equation are constructed and lead to invariant solutions.


Search and serve lasted 0 second(s).


2004-2021 Austral Internet Publishing