dc.contributor.author | Lekalakala, Senkepeng Louisa | |
dc.contributor.author | Motsepa, Tanki | |
dc.contributor.author | Khalique, Chaudry Masood | |
dc.date.accessioned | 2017-05-16T06:31:52Z | |
dc.date.available | 2017-05-16T06:31:52Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Lekalakala, 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. [http://dx.doi.org/10.1007/s00009-015-0569-4] | |
dc.identifier.issn | 1660-5446 | |
dc.identifier.issn | 1660-5454 (Online) | |
dc.identifier.uri | http://dx.doi.org/10.1007/s00009-015-0569-4 | |
dc.identifier.uri | http://hdl.handle.net/10394/24180 | |
dc.description.abstract | In 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.language.iso | en | |
dc.publisher | Springer | |
dc.subject | Nonlinear Black-Scholes equation | |
dc.subject | optimal system of one-dimensional subalgebras | |
dc.subject | Lie point symmetries | |
dc.subject | group-invariant solutions | |
dc.title | Lie symmetry reductions and exact solutions of an option-pricing equation for large agents | |
dc.type | Article | |
dc.contributor.researchID | 20559860 - Khalique, Chaudry Masood | |
dc.contributor.researchID | 16401182 - Lekalakala, Senkepeng Louisa | |
dc.contributor.researchID | 24602825 - Motsepa, Tanki | |