Lie group approach to Cauchy's problems : solution of an initial value problem for the Black-Scholes model
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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.