Contents Online
Methods and Applications of Analysis
Volume 19 (2012)
Number 2
Symmetries of the Black-Scholes equation
Pages: 147 – 160
DOI: https://dx.doi.org/10.4310/MAA.2012.v19.n2.a3
Author
Abstract
We study the algebro–geometrical structure of the Black–Scholes equation via the method of isovectors.
Keywords
Black-Scholes, isovectors, Lie algebras
2010 Mathematics Subject Classification
34A26, 91Bxx
Published 10 December 2012