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Lie symmetry analysis of a fractional Black-Scholes equation

Chong, KY and O'Hara, JG (2019) Lie symmetry analysis of a fractional Black-Scholes equation. In: UNSPECIFIED, ? - ?.

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Abstract

© 2019 Author(s). In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14]. In this paper, Lie symmetry analysis of a time fractional Black-Scholes equation with Riemann-Liouville derivative is performed. The operators admitted are obtained and finally an example of the invariant solution of the equation is discussed.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Published proceedings: AIP Conference Proceedings
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Elements
Date Deposited: 30 Sep 2019 15:11
Last Modified: 07 Jul 2020 21:15
URI: http://repository.essex.ac.uk/id/eprint/25384

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