Symmetries of the Black-Scholes equation
arXiv:1110.6170
Abstract
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
arXiv:1110.6170
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.