Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/68474
Type: Artigo
Title: Group classification of a generalized Black-Scholes-Merton equation
Title Alternative: 
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.
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
metadata.dc.description.abstractalternative: 
Subject: Black-Scholes, Modelo de
Black-Scholes, Equações de
Equações diferenciais parciais
Lie, Simetrias de
Country: Holanda
Editor: Elsevier
Citation: Communications In Nonlinear Science And Numerical Simulation. Elsevier Science Bv, v. 19, n. 7, n. 2200, n. 2211, 2014.
Rights: fechado
Identifier DOI: 10.1016/j.cnsns.2013.12.016
Address: https://www.sciencedirect.com/science/article/pii/S1007570413005972
Date Issue: 2014
Appears in Collections:IMECC - Artigos e Outros Documentos

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