Open AccessNew Symmetries of Black-Scholes Equation
Author(s) -
Tshidiso Masebe
Publication year - 2021
Publication title -
wseas transactions on systems
Language(s) - English
Resource type - Journals
eISSN - 2224-2678
pISSN - 1109-2777
DOI - 10.37394/23202.2021.20.10
Subject(s) - homogeneous space , mathematics , invariant (physics) , ordinary differential equation , black–scholes model , symmetry (geometry) , euler's formula , differential equation , mathematical physics , partial differential equation , mathematical analysis , geometry , volatility (finance) , econometrics
Lie Point symmetries and Euler’s formula for solving second order ordinary linear differential equations are used to determine symmetries for the one-dimensional Black- Scholes equation. One symmetry is utilized to determine an invariant solutions