The Australian Journal of Mathematical Analysis and Applications


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ISSN 1449-5910  

 

Paper Information

Paper 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.

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