Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance
Joint Authors
Khalique, Chaudry Masood
Motsepa, Tanki
Molati, Motlatsi
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-13
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
We carry out group classification of a general bond-option pricing equation.
We show that the equation admits a three-dimensional equivalence Lie algebra.
We also show that some of the values of the constants which result from group classification give us well-known models in mathematics of finance such as Black-Scholes, Vasicek, and Cox-Ingersoll-Ross.
For all such values of these arbitrary constants we obtain Lie point symmetries.
Symmetry reductions are then obtained and group invariant solutions are constructed for some cases.
American Psychological Association (APA)
Motsepa, Tanki& Khalique, Chaudry Masood& Molati, Motlatsi. 2014. Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1033952
Modern Language Association (MLA)
Motsepa, Tanki…[et al.]. Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance. Abstract and Applied Analysis No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-1033952
American Medical Association (AMA)
Motsepa, Tanki& Khalique, Chaudry Masood& Molati, Motlatsi. Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1033952
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033952
