Symmetries of the Black-Scholes equation

Paul Lescot (1)

1 LMRS - Laboratoire de Mathématiques Raphaël Salem

We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.

Domaines: Probabilités [math.PR]

Paul Lescot. Symmetries of the Black-Scholes equation. Methods and Applications of Analysis, 2012, 19 (2), pp.147--160. ⟨hal-00636178v2⟩