Lie group approach to Cauchy's problems : solution of an initial value problem for the Black-Scholes model
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Date
1997
Authors
Wafo, Soh, Celestin
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Abstract
A Lie group assisted method is used to solve explicitly an arbitrary initial
value problem for the Black-Scholes equation, This equation plays a crucial
role in the mathematics of finance. It was first solved by its inventors for a
special initial data. Our solution generalises the well-known Black-Scholes
formula.
Description
A research report submitted to the Faculty of Science, University of the Witwatersrand,
Johannesburg, in partial fulfilment of the requirements for the
degree of Master of Science.
Keywords
Lie groups., Cauchy problem., Differential equations, Partial., Mathematical models., Business mathematics.