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math.AP2016★ 2 cited
Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
A. Paliathanasis, R. M. Morris, P. G. L. Leach
We analyse two classes of evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for…
math.AP2015★ 19 cited
Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
A. Paliathanasis, K. Krishnakumar, K. M. Tamizhmani +1
We perform a classification of the Lie point symmetries for the Black--Scholes--Merton Model for European options with stochastic volatility, , in which the last is defined by a…