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Symmetries of the Black–Scholes–Merton Equation for European Options

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Abstract

The aim of the present paper is the clarification of the result of A. Paliathanasis, K. Krishnakumar, K.M. Tamizhmani and P.G.L. Leach on the symmetry Lie algebra of the Black–Scholes–Merton equation for European options.

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REFERENCES

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Authors and Affiliations

  1. ICL Group, 420029, Kazan, Russia

    L. N. Bakirova

  2. Tupolev Kazan National Research Technical University—KAI, 420111, Kazan, Russia

    M. A. Shurygina

  3. Lobachevskii Institute of Mathematics and Mechanics, Kazan (Volga Region) Federal University, 420008, Kazan, Russia

    V. V. Shurygin

Authors
  1. L. N. Bakirova
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  2. M. A. Shurygina
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  3. V. V. Shurygin
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Corresponding authors

Correspondence to L. N. Bakirova, M. A. Shurygina or V. V. Shurygin.

Additional information

(Submitted by M. A.Malakhaltsev)

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Bakirova, L.N., Shurygina, M.A. & Shurygin, V.V. Symmetries of the Black–Scholes–Merton Equation for European Options. Lobachevskii J Math 44, 1256–1263 (2023). https://doi.org/10.1134/S1995080223040042

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  • DOI: https://doi.org/10.1134/S1995080223040042

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