Group classification of a generalized Black-Scholes-Merton equation

dc.creatorBozhkov, Y
dc.creatorDimas, S
dc.date2014
dc.dateJUL
dc.date2014-07-30T17:51:25Z
dc.date2015-11-26T17:06:24Z
dc.date2014-07-30T17:51:25Z
dc.date2015-11-26T17:06:24Z
dc.date.accessioned2018-03-28T23:54:50Z
dc.date.available2018-03-28T23:54:50Z
dc.identifierCommunications In Nonlinear Science And Numerical Simulation. Elsevier Science Bv, v. 19, n. 7, n. 2200, n. 2211, 2014.
dc.identifier1007-5704
dc.identifier1878-7274
dc.identifierWOS:000330177200006
dc.identifier10.1016/j.cnsns.2013.12.016
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/68474
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/68474
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1279840
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.descriptionThe 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.
dc.description19
dc.description7
dc.description2200
dc.description2211
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.descriptionFAPESP [2011/05855-9]
dc.languageen
dc.publisherElsevier Science Bv
dc.publisherAmsterdam
dc.publisherHolanda
dc.relationCommunications In Nonlinear Science And Numerical Simulation
dc.relationCommun. Nonlinear Sci. Numer. Simul.
dc.rightsfechado
dc.rightshttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dc.sourceWeb of Science
dc.subjectBlack-Scholes-Merton equation
dc.subjectLie point symmetry
dc.subjectGroup classification
dc.subjectComputer assisted research
dc.subjectPartial-differential-equations
dc.subjectSymmetry Analysis
dc.subjectLie
dc.subjectTransformations
dc.subjectModel
dc.titleGroup classification of a generalized Black-Scholes-Merton equation
dc.typeArtículos de revistas


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