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    Group classification of a general bond–option pricing equation of mathematical finance

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    2014Group classification_Finance.pdf (1.850Mb)
    Date
    2014
    Author
    Motsepa, Tanki
    Khalique, Chaudry Masood
    Molati, Motlatsi
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    Abstract
    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.
    URI
    http://hdl.handle.net/10394/18182
    http://dx.doi.org/10.1155/2014/709871
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