Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6420869 | Applied Mathematics and Computation | 2014 | 10 Pages |
Abstract
We examine various forms of the Black-Scholes Equation using symmetry analysis and consider the standard problem of a terminal condition, namely u(T,x)=U. The models considered are the standard form of the equation to provide a benchmark, the nonhomogeneous form and two variations in which the parameters of the two basic models are explicitly time dependent. We find, subject to some constraints upon the parameters, a remarkable robustness in the results.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
K.M. Tamizhmani, K. Krishnakumar, P.G.L. Leach,