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

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dc.contributor.authorWafo, Soh, Celestin
dc.date.accessioned2019-07-10T10:28:42Z
dc.date.available2019-07-10T10:28:42Z
dc.date.issued1997
dc.descriptionA 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.en_ZA
dc.description.abstractA 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.en_ZA
dc.description.librarianAndrew Chakane 2019en_ZA
dc.identifier.urihttps://hdl.handle.net/10539/27607
dc.language.isoenen_ZA
dc.subjectLie groups.en_ZA
dc.subjectCauchy problem.en_ZA
dc.subjectDifferential equations, Partial.en_ZA
dc.subjectMathematical models.en_ZA
dc.subjectBusiness mathematics.en_ZA
dc.titleLie group approach to Cauchy's problems : solution of an initial value problem for the Black-Scholes modelen_ZA
dc.typeThesisen_ZA
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