Group classification of a generalized Black-Scholes-Merton equation

Bozhkov, Y.; Dimas, S.

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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Group classification of a generalized Black-Scholes-Merton equation

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Author(s):	Bozhkov, Y. ^[1] ; Dimas, S. ^[1] Total Authors: 2
Affiliation:	^[1] Univ Estadual Campinas, UNICAMP, Inst Matemat Estat & Computacao Cient IMECC, BR-13083859 Campinas, SP - Brazil Total Affiliations: 1
Document type:	Journal article
Source:	COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION; v. 19, n. 7, p. 2200-2211, JUL 2014.
Web of Science Citations:	7
Abstract
The complete group classification of a generalization of the Black-Scholes-Merton model is carried out by making use of the underlying equivalence and additional equivalence transformations. For each nonlinear case obtained through this classification, invariant solutions are given. To that end, two boundary conditions of financial interest are considered, the terminal and the barrier option conditions. (C) 2013 Elsevier B. V. All rights reserved. (AU)

FAPESP's process:	11/05855-9 - Group analysis of nonlinear differential equations
Grantee:	Stylianos Dimas
Support Opportunities:	Scholarships in Brazil - Post-Doctoral

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