Symmetry Breaking for Black-Scholes Equations
被引量：1
Symmetry Breaking for Black-Scholes Equations
摘要
Black-Scholes equation is used to model stock option pricing. In this paper, optimal systems with one to four parameters of Lie point symmetries for Black-Scholes equation and its extension are obtained. Their symmetry breaking interaction associated with the optimal systems is also studied. As a. result, symmetry reductions and corresponding solutions for the resulting equations are obtained.
基金
The project supported by National Natural Science Foundation of China under Grant No. 10371098 and Program for New Century Excellent Talents in Universities （NCET）
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