Group Classification of a General Bond-Option Pricing Equation
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Abstract
The main purpose of this work is to perform the Lie group classification of a general bond-option
pricing equation. The procedure involves finding the Lie symmetries of the said
partial differential equation and employing direct method to classify the equation. The
optimal systems are then obtained for some cases encountered and group-invariant solutions
are found for the optimal systems of one-dimensional subalgebras obtained.
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Thesis (M.Sc. (Applied Mathematics) North-West University, Mafikeng Campus, 2013