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- This paper analyses the model of Black–Scholes option pricing from the point of view of the group theoretic approach. The study identified new independent variables that lead to the transformation of the Black–Scholes equation. Furthermore, corresponding determining equations were constructed and new symmetries were found. As a result, the findings of the study demon strate of the integrability of the model to present an invariant solution for the Ornstein–Uhlenbeck stochastic process.
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