GROUP CLASSIFICATION OF ONE CLASS (2+1)-DIMENSIONAL LINEAR EQUATIONS OF ASIAN OPTIONS PRICING

Abstract

A group classification of one class of (2+1)-dimensional linear equations of Asian options pricing was carried out. As a result, the kernel of maximal invariance algebras and continuous equivalence transformations of this class of equations were found. Using equivalence transformations, all non-equivalent subclasses of equations that have an invariance algebra wider than the kernel of maximal invariance algebras are selected. For each such subclass of equations, Lie algebras of symmetry operators of dimensions four, five, and eight are found.