Methods and Applications of Analysis

Volume 19 (2012)

Number 2

Symmetries of the Black-Scholes equation

Pages: 147 – 160

DOI: http://dx.doi.org/10.4310/MAA.2012.v19.n2.a3

Author

Paul Lescot (Laboratoire de Mathématiques Raphaël Salem, Université de Rouen, Saint-Etienne-du-Rouvray, France)

Abstract

We study the algebro–geometrical structure of the Black–Scholes equation via the method of isovectors.

Keywords

Black-Scholes, isovectors, Lie algebras

2010 Mathematics Subject Classification

34A26, 91Bxx

Full Text (PDF format)