Symmetry methods for option pricing

We obtain a solution of the Black-Scholes equation with a non-smooth boundary condition using symmetry methods. The Black-Scholes equation along with its boundary condition are first transformed into the one dimensional heat equation and an initial condition respectively. We then find an appropriate general symmetry generator of the heat equation using symmetries and the fundamental solution of the heat equation. The symmetry generator is chosen such that the boundary condition is left invariant; the symmetry can be used to solve the heat equation and hence the Black-Scholes equation.