Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2015, Vol. 32 ›› Issue (6): 883-892.doi: 10.3969/j.issn.1005-3085.2015.06.009

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Conditional Lie-B$\ddot{\rm a}$cklund Symmetry and Invariant Subspace for Black-Scholes Equation

ZUO Su-li1,   GOU Ming1,   LI Ji-na2,   HUANG Qing1   

  1. 1- Department of Mathematics, Center for Nonlinear Studies, Institute of Modern Physics, Northwest University, Xi'an 710127
    2- College of Science, Zhongyuan University Technology, Zhengzhou 450007
  • Received:2014-02-17 Accepted:2014-10-27 Online:2015-12-15 Published:2016-02-15
  • Supported by:
    The Tian Yuan Foundation of National Natural Science Foundation of China (11226195; 11326167); the Natural Science Foundation of Shaanxi Provincial Education Department (JC11217); the Natural Science Foundation of Henan Province (122300410166); the Natural Science Foundation of Henan Provincial Education Department (13A110119).

Abstract:

The exact solution of partial differential equations, which contains rich information for the equations, is very important for describing the development of various phenomena and thus becomes a research focus of scientific fields such as mathematics, physics, economy and so on. In this paper, the generalized separable solutions for Black-Scholes equation, which is one of most important models arising in financial mathematics, are discussed. By using the conditional Lie-B$\ddot{\rm a}$cklund symmetry and invariant subspace theory, we obtain the conditional Lie-B$\ddot{\rm a}$cklund symmetries, which are similar to Euler equation. The conditional Lie-B$\ddot{\rm a}$cklund symmetries, which are admitted by Black-Scholes, are corresponding to high-order variable coefficient ordinary differential equations. At the same time, all of exact solutions associated to the conditional Lie-B$\ddot{\rm a}$cklund symmetries are performed.

Key words: Black-Scholes equation, conditional Lie-B$\ddot{\rm a}$cklund symmetry, invariant subspace, Euler equation

CLC Number: