Chong, Kam Yoon and O'Hara, John G (2019) Lie symmetry analysis of a fractional Black-Scholes equation. In: Modern Treatment of Symmetries, Differential Equations and Applications (Symmetry 2019), 2019-01-14 - 2019-01-18, Nakhon Ratchasima, Thailand.
Chong, Kam Yoon and O'Hara, John G (2019) Lie symmetry analysis of a fractional Black-Scholes equation. In: Modern Treatment of Symmetries, Differential Equations and Applications (Symmetry 2019), 2019-01-14 - 2019-01-18, Nakhon Ratchasima, Thailand.
Chong, Kam Yoon and O'Hara, John G (2019) Lie symmetry analysis of a fractional Black-Scholes equation. In: Modern Treatment of Symmetries, Differential Equations and Applications (Symmetry 2019), 2019-01-14 - 2019-01-18, Nakhon Ratchasima, Thailand.
Abstract
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 Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 30 Sep 2019 15:11 |
| Last Modified: | 30 Oct 2024 16:34 |
| URI: | http://repository.essex.ac.uk/id/eprint/25384 |
Available files
Filename: FINALVERSION.pdf