相关论文: Group Classification of a Generalized Black--Schol…
The complete group classification of a generalization of the Heath model is carried out by connecting it to the heat equation with nonlinear source. Examples of invariant solutions are given under the terminal and the barrier option…
The enhanced group classification of a semi-linear generalization of a general bond-pricing equation is carried out by employing the underlying equivalence and additional equivalence transformations. The knowledge of the sub classes with…
In this work, we give a generalized formulation of the Black-Scholes model. The novelty resides in considering the Black-Scholes model to be valid on 'average', but such that the pointwise option price dynamics depends on a measure…
Enhancing and essentially generalizing previous results on a class of (1+1)-dimensional nonlinear wave and elliptic equations, we apply several new techniques to classify admissible point transformations within this class up to the…
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European,…
A class of the Benjamin-Bona-Mahony-Burgers (BBMB) equations with time-dependent coefficients is investigated with the Lie symmetry point of view. The set of admissible transformations of the class is described exhaustively. The complete…
We study admissible transformations and Lie symmetries for a class of variable-coefficient Burgers equations. We combine the advanced methods of splitting into normalized subclasses and of mappings between classes that are generated by…
Group classification of a class of Benjamin-Bona-Mahony (BBM) equations with time dependent coefficients is carried out. Two equivalent lists of equations possessing Lie symmetry extensions are presented: up to point equivalence within the…
We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\!\in \!(-\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\nearrow 0$. We show…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
Employing the Klein-Gordon equation, we propose a generalized Black-Scholes equation. In addition, we found a limit where this generalized equation is invariant under conformal transformations, in particular invariant under scale…
We discuss the classical statement of group classification problem and some its extensions in the general case. After that, we carry out the complete extended group classification for a class of (1+1)-dimensional nonlinear…
Lie symmetries of K(m,n) equations with time-dependent coefficients are classified. Group classification is presented up to widest possible equivalence groups, the usual equivalence group of the whole class for the general case and…
The method of preliminary group classification is rigorously defined, enhanced and related to the theory of group classification of differential equations. Typical weaknesses in papers on this method are discussed and strategies to overcome…
The complete group classification problem for the class of (1+1)-dimensional $r$th order general variable-coefficient Burgers-Korteweg-de Vries equations is solved for arbitrary values of $r$ greater than or equal to two. We find the…
A hierarchy of normalized classes of generalized Burgers equations is studied. The equivalence groupoids of these classes are computed. The equivalence groupoids of classes of linearizable generalized Burgers equations are related to those…
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most…
A new approach to the problem of group classification is applied to the class of first-order non-linear equations of the form $u_a u_a=F(t,u,u_t)$. It allowed complete solution of the group classification problem for a class of equations…
Using the basic prolongation method and the infinitesimal criterion of invariance, we find the most general Lie point symmetries group of the Thomas equation. Looking the adjoint representation of the obtained symmetry group on its Lie…