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Najafi, Ramin, Bahrami, Fariba, Vafadar, Parisa. (1403). Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type. سامانه مدیریت نشریات علمی, 12(4), 638-650. doi: 10.22034/cmde.2024.59096.2510
Ramin Najafi; Fariba Bahrami; Parisa Vafadar. "Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type". سامانه مدیریت نشریات علمی, 12, 4, 1403, 638-650. doi: 10.22034/cmde.2024.59096.2510
Najafi, Ramin, Bahrami, Fariba, Vafadar, Parisa. (1403). 'Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type', سامانه مدیریت نشریات علمی, 12(4), pp. 638-650. doi: 10.22034/cmde.2024.59096.2510
Najafi, Ramin, Bahrami, Fariba, Vafadar, Parisa. Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type. سامانه مدیریت نشریات علمی, 1403; 12(4): 638-650. doi: 10.22034/cmde.2024.59096.2510

Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type

Computational Methods for Differential Equations
مقاله 1، دوره 12، شماره 4، دی 2024، صفحه 638-650    اصل مقاله (625.84 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2024.59096.2510
نویسندگان
Ramin Najafi* 1؛ Fariba Bahrami2؛ Parisa Vafadar2
1Department of Mathematics, Maku Branch, Islamic Azad University, Maku, Iran.
2Faculty of Mathematics and Computer Science, University of Tabriz, Tabriz, Iran.
چکیده
In this study, the Lie symmetry analysis, and exact solutions are investigated to the fractional Black–Scholes(B-S) equations of the Caputo–type modeling of the pricing options under the absence of arbitrage and self-financing portfolio assumptions. A class of exact invariant and solitary solutions are given to B-S equations. Some examples are presented in which we use the obtained reductions to find their exact solutions.
کلیدواژه‌ها
Lie symmetry analysis؛ Time–fractional Black–Scholes equation؛ Caputo fractional derivative؛ Invariant solutions
مراجع
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