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Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing
Joint Authors
Sinkala, W.
Nkalashe, Tembinkosi F.
Source
Advances in Mathematical Physics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-23
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
This model arises as an extension of the classical Black-Scholes model when liquidity is incorporated into the market.
We compute the admitted Lie point symmetries of the system and construct an optimal system of the associated one-dimensional subalgebras.
We also construct some invariant solutions of the model.
American Psychological Association (APA)
Sinkala, W.& Nkalashe, Tembinkosi F.. 2015. Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing. Advances in Mathematical Physics،Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1052963
Modern Language Association (MLA)
Sinkala, W.& Nkalashe, Tembinkosi F.. Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing. Advances in Mathematical Physics No. 2015 (2015), pp.1-9.
https://search.emarefa.net/detail/BIM-1052963
American Medical Association (AMA)
Sinkala, W.& Nkalashe, Tembinkosi F.. Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing. Advances in Mathematical Physics. 2015. Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1052963
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1052963