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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…
math.AP2015★ 6 cited
Symmetries of second-order PDEs and conformal Killing vectors
Michael Tsamparlis, Andronikos Paliathanasis
We study the Lie point symmetries of a general class of partial differential equations (PDE) of second order. An equation from this class naturally defines a second-order symmetric…