Invariant solutions of the Black-Scholes equation

Invariant solutions of the Black-Scholes equation

Mothiba, Makoba Melidah Kholofelo
URI: https://repository.up.ac.za/handle/2263/88846
Date: 2022

Abstract:

In this study, we discuss derivatives, Lie symmetries and invariant solutions of the Black Scholes equation. We combine the Lie group methods with the Adomian decomposition method to solve the Black and Scholes equation via the heat equation. We further discuss several examples to illustrate the theory in this study

Description:

Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.

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