Symmetries of the Black-Scholes-Merton equation for European options
Landysh N. Bakirova, Marina A. Shurygina, Vadim V. Shurygin, Jr
TL;DR
This paper clarifies the symmetry Lie algebra of the Black-Scholes-Merton equation for European options, building on previous work to better understand its mathematical structure.
Contribution
It provides a detailed clarification of the symmetry Lie algebra related to the Black-Scholes-Merton equation for European options, expanding theoretical understanding.
Findings
Identified the specific symmetry Lie algebra structure.
Clarified previous results on the equation's symmetries.
Enhanced mathematical understanding of option pricing models.
Abstract
The aim of the present paper is the clarification of the result of A. Paliathanasis, K. Krishnakumar, K.M. Tamizhmani and P.G.L. Leach on the symmetry Lie algebra of the Black-Scholes-Merton equation for European options.
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Taxonomy
TopicsStochastic processes and financial applications