A Technique to Solve a Parabolic Equation by Point Symmetries that Incorporate Initial Data
dc.contributor.author | Jamal, Sameerah | |
dc.contributor.otherauthor | Maphanga, Rivoningo | |
dc.date.accessioned | 2025-03-19T12:13:45Z | |
dc.date.issued | 2025-03 | |
dc.description.abstract | In this paper, we show how transformation techniques coupled with a convolution integral can be used to solve a generalised option-pricing model, including the Black–Scholes model. Such equations are parabolic and the special convolutions are extremely involved as they arise from an initial value problem. New symmetries are derived to obtain solutions through an application of the invariant surface condition. The main outcome is that the point symmetries are effective in producing exact solutions that satisfy a given initial condition, such as those represented by a call-option. | |
dc.description.submitter | PM2025 | |
dc.faculty | Faculty of Science | |
dc.identifier | 0000-0003-3702-8368 | |
dc.identifier.citation | Jamal, S., Maphanga, R. A Technique to Solve a Parabolic Equation by Point Symmetries that Incorporate Initial Data. Int. J. Appl. Comput. Math 11, 48 (2025). https://doi.org/10.1007/s40819-025-01861-6 | |
dc.identifier.issn | 2349-5103 (print) | |
dc.identifier.issn | 2199-5796 (online) | |
dc.identifier.other | 10.1007/s40819-025-01861-6 | |
dc.identifier.uri | https://hdl.handle.net/10539/44392 | |
dc.journal.title | International Journal of ComputationaI Mathematics | |
dc.language.iso | en | |
dc.publisher | Springer | |
dc.relation.ispartofseries | Vol. 11; No. 48 | |
dc.rights | © The Author(s) 2025. Open Access, This article is licensed under a Creative Commons Attribution 4.0 International License. | |
dc.school | School of Mathematics | |
dc.subject | Option-pricing | |
dc.subject | Symmetries | |
dc.subject | Heat transfer | |
dc.subject | Initial conditions | |
dc.subject | Pricing equation | |
dc.subject.primarysdg | SDG-17: Partnerships for the goals | |
dc.title | A Technique to Solve a Parabolic Equation by Point Symmetries that Incorporate Initial Data | |
dc.type | Article |