Lie symmetry, exact solutions and conservation laws of bi-fractional Black-Scholes equation derived by the fractional G-Brownian motion
Jicheng Yu, Yuqiang Feng and Xianjia Wang
| Year of publication: |
2024
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| Authors: | Yu, Jicheng ; Feng, Yuqiang ; Wang, Xianjia |
| Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 11.2024, 1, Art.-No. 2350037, p. 1-15
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| Subject: | bi-fractional Black-Scholes equation | conservation laws | exact solutions | fractional G-Brownian motion | Lie symmetry analysis | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Mathematik | Mathematics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786323500378 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014521387