Symmetries of the Black-Scholes equation

Paul Lescot
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Paul Lescot: LMRS

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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.

Date: 2011-10, Revised 2011-10
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Published in Methods Appl. Anal. 19, 2 (2012) 147--160

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