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dc.contributor.authorLekalakala, Senkepeng Louisa
dc.contributor.authorMotsepa, Tanki
dc.contributor.authorKhalique, Chaudry Masood
dc.identifier.citationLekalakala, S.L. et al. 2016. Lie symmetry reductions and exact solutions of an option-pricing equation for large agents. Mediterranean Journal of Mathematics, 13:1753-1763. []
dc.identifier.issn1660-5454 (Online)
dc.description.abstractIn this paper, we study a nonlinear partial differential equation that models the one-factor term structure option-pricing for large agents from the Lie symmetry stand point. This equation was modelled by Jonsson and Keppo (Appl Math Financ 9:261-272, 2002) and is a nonlinear modified Black-Scholes partial differential equation. We first determine an optimal system of one-dimensional subalgebras. We then use it to obtain symmetry reductions and families of group-invariant solutions of the underlying equation.
dc.subjectNonlinear Black-Scholes equation
dc.subjectoptimal system of one-dimensional subalgebras
dc.subjectLie point symmetries
dc.subjectgroup-invariant solutions
dc.titleLie symmetry reductions and exact solutions of an option-pricing equation for large agents
dc.contributor.researchID20559860 - Khalique, Chaudry Masood
dc.contributor.researchID16401182 - Lekalakala, Senkepeng Louisa
dc.contributor.researchID24602825 - Motsepa, Tanki

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