Symmetry properties and exact solutions of the pricing equation of Asian options

• Datum: 2019
• Hauptverfasser: Spichak, S., Stognij, V., Kopas, I., Спічак, С., Стогній, В., Копась, І.
• Format: Artikel
• Sprache: Ukrainisch
• Veröffentlicht: Інститут математики НАН України 2019
• Online Zugang: https://trim.imath.kiev.ua/index.php/trim/article/view/373
• Назва журналу: Transactions of Institute of Mathematics of NAS of Ukraine

Using the classical Lie-Ovsyannikov method, a maximal invariance algebra was found for a equation thatfollows from the pricing equation of Asian options. Using the operators of that algebra symmetric reduction is carried out and invariant exact solutions are constructed for this equation, as well as...