Lie group approach to Cauchy's problems : solution of an initial value problem for the Black-Scholes model
Soh, Celestin Wafo
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.
Lie groups., Cauchy problem., Differential equations, Partial., Mathematical models., Business mathematics.