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

Authors

  • S. Spichak Institute of Mathematics of NAS of Ukraine
  • V. Stognij National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”
  • I. Kopas National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”

Abstract

Using the classical Lie-Ovsyannikov method, a maximal invariance algebra was found for a equation that
follows 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 for the pricing equation of Asian options, respectively.

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Published

2019-09-03

How to Cite

Spichak, S., Stognij, V., & Kopas, I. (2019). Symmetry properties and exact solutions of the pricing equation of Asian options. Transactions of Institute of Mathematics, the NAS of Ukraine, 16(1), 164–173. Retrieved from https://trim.imath.kiev.ua/index.php/trim/article/view/373

Issue

Vol. 16 No. 1 (2019): Symmetry and Integrability of Equations of Mathematical Physics

Section

Research papers