Artículos de revistas
Group classification of a generalized Black-Scholes-Merton equation
Registro en:
Communications In Nonlinear Science And Numerical Simulation. Elsevier Science Bv, v. 19, n. 7, n. 2200, n. 2211, 2014.
1007-5704
1878-7274
WOS:000330177200006
10.1016/j.cnsns.2013.12.016
Autor
Bozhkov, Y
Dimas, S
Institución
Resumen
Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) The complete group classification of a generalization of the Black-Scholes-Merton model is carried out by making use of the underlying equivalence and additional equivalence transformations. For each nonlinear case obtained through this classification, invariant solutions are given. To that end, two boundary conditions of financial interest are considered, the terminal and the barrier option conditions. (C) 2013 Elsevier B. V. All rights reserved. 19 7 2200 2211 Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) FAPESP [2011/05855-9]