Symmetry Properties of Modified Black-Scholes Equation

• Autorzy: Maciej Janowicz , Andrzej Zembrzuski
• Języki publikacji: EN

Abstrakty

EN

This paper concerns the classical and conditional symmetries of the Black-Scholes equation. Modifications of the Black-Scholes equation have also been considered and their maximal algebras of invariance have been found. Examples of creation operators for the Black-Scholes eigenvalue problem have been provided.(original abstract)

Słowa kluczowe

EN

Mathematical models; Black-Scholes model; Derivatives pricing

PL

Modele matematyczne; Model Blacka-Scholesa; Wycena instrumentów pochodnych

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2021
• Tom: 22(XXII)
• Numer: nr 2
• Strony: 77--86

Twórcy

autor

Maciej Janowicz

• Warsaw University of Life Sciences - SGGW, Poland

autor

Andrzej Zembrzuski

• Warsaw University of Life Sciences - SGGW, Poland

Bibliografia

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Identyfikatory

DOI

https://doi.org/10.22630/MIBE.2021.22.2.7