Lie group approach to Cauchy's problems : solution of an initial value problem for the Black-Scholes model

Description

A Lie group assisted method is used to solve explicitly an arbitrary initial
value problem for the Black-Scholes equation, This equation plays a crucial
role in the mathematics of finance. It was first solved by its inventors for a
special initial data. Our solution generalises the well-known Black-Scholes
formula. / Andrew Chakane 2019

Links & Downloads

1. https://hdl.handle.net/10539/26443

Tags

Lie groups.

Cauchy problem.

Differential equations, Partial.

Mathematical models.

Business mathematics.

Additional Fields

Identifer	oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/26443
Date	January 1997
Creators	Soh, Celestin Wafo
Source Sets	South African National ETD Portal
Language	English
Detected Language	English
Type	Thesis
Format	application/pdf