Symmetries of the Black-Scholes equation

Details Symmetries of the Black-Scholes equation Symmetries of the Black-Scholes equation

2011-10-27

arxiv.org/abs/1110.6170v2

Economy

Quantitative Finance

Computational Finance

Scientific paper

We determine the algebra of isovectors for the Black--Scholes equation. As a
consequence, we obtain some previously unknown families of transformations on
the solutions.

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