In this research report we explore some applications of symmetry methods for
boundary value problems in the pricing of barrier options. Various nancial
instruments satisfy the Black-Scholes partial di erential equation (pde) but
with di erent domain, maturity date and boundary conditions. We nd Lie
symmetries that leave the Black-Scholes (pde) invariant and will guarantee
that the relevant solutions satisfy the boundary conditions. Using these sym-
metries, we can thus generate group-invariant solutions to the boundary value
problem.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/14847 |
| Date | 02 July 2014 |
| Creators | Sidogi, Thendo |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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