Group classification of a general bond–option pricing equation of mathematical finance
Date
2014Author
Motsepa, Tanki
Khalique, Chaudry Masood
Molati, Motlatsi
Metadata
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We carry out group classification of a general bond-option pricing equation. We show that the equation admits a three-dimensional equivalence Lie algebra. We also show that some of the values of the constants which result from group classification give us well-known models in mathematics of finance such as Black-Scholes, Vasicek, and Cox-Ingersoll-Ross. For all such values of these arbitrary constants we obtain Lie point symmetries. Symmetry reductions are then obtained and group invariant solutions are constructed for some cases.