{"title":"Symmetries of the Black-Scholes equation","authors":"P. Lescot","doi":"10.4310/MAA.2012.V19.N2.A3","DOIUrl":null,"url":null,"abstract":"We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Computational Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4310/MAA.2012.V19.N2.A3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
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