Lie theoretic perspective of black-scholes equation under stochastic heston model

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dc.contributor.authorMatadi, Maba Boniface
dc.contributor.authorZondi, Phumlani Lawrence
dc.coverage.conferenceissn
dc.date.accessioned2025-12-04T08:16:28Z
dc.date.available2025-12-04T08:16:28Z
dc.date.issued2020
dc.departmentNameMathematical Sciences
dc.description.abstractThis study examines a classical Black-Scholes (BC) model for stochastic volatility with Heston process from Lie symmetry perspective. In the same way the study includes a classification of point symmetries and the corresponding modified local one-parameter transformations. Lie symmetry analysis is presented for the case where the volatility is a stochastic process.Furthermore, an invariant solutions are calculated and illustrated numerically.
dc.facultyFaculty of Science, Agriculture and Engineering
dc.format.preprintNo
dc.identifier.citationMatadi, M.B. and Zondi, P.L., 2020. Lie theoretic perspective of black-scholes equation under stochastic heston model. International Journal of Applied Mathematics, 33(5), pp.753-764
dc.identifier.issn1314-8060 (online)
dc.identifier.issn1311-1728 (print)
dc.identifier.otherhttp://dx.doi.org/10.12732/ijam.v33i5.2
dc.identifier.urihttp://hdl.handle.net/10530/58491
dc.inproceedingsissn
dc.issuenumber33 / 5
dc.keynoteissn
dc.language.isoen
dc.pages753 - 764
dc.peerreviewedYes
dc.publisherAcademic Publications
dc.subjectGroup theoretic approach
dc.subjectLie symmetry
dc.subjectInvariant solution
dc.subjectBlack-Scholes equation
dc.titleLie theoretic perspective of black-scholes equation under stochastic heston model
dc.title.journalInternational Journal of Applied Mathematics
dc.typeJournal Article
dspace.entity.typePublication
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