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This paper analyses the model of Black–Scholes option pricing from the point of view of the group theoretic approach. The study identified new independent variables that lead to the transformation… Click to show full abstract
This paper analyses the model of Black–Scholes option pricing from the point of view of the group theoretic approach. The study identified new independent variables that lead to the transformation of the Black–Scholes equation. Furthermore, corresponding determining equations were constructed and new symmetries were found. As a result, the findings of the study demonstrate of the integrability of the model to present an invariant solution for the Ornstein–Uhlenbeck stochastic process.
Keywords:
invariant solutions;
black scholes;
ornstein uhlenbeck;
process;
scholes equation;
solutions black
Journal Title: Symmetry
Year Published: 2021
Link to full text (if available)
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Journal Title: Symmetry
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!