Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/68474
Type: Artigo de periódico
Title: Group classification of a generalized Black-Scholes-Merton equation
Author: Bozhkov, Y
Dimas, S
Abstract: 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.
Subject: Black-Scholes-Merton equation
Lie point symmetry
Group classification
Computer assisted research
Country: Holanda
Editor: Elsevier Science Bv
Rights: fechado
Identifier DOI: 10.1016/j.cnsns.2013.12.016
Date Issue: 2014
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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