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
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 |
Page generated in 0.0033 seconds