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, $\sigma$, in which the last is defined by a…