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Invariant solutions of the Black-Scholes equation
Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2022
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| _version_ | 1867613468141551616 |
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| access_status_str | Open Access |
| author2 | Mokhwetha, Mabula |
| author_browse | Mokhwetha, Mabula |
| author_facet | Mokhwetha, Mabula |
| collection | Thesis |
| dc_rights_str_mv | © 2022 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/88846 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:37.472Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/88846 Invariant solutions of the Black-Scholes equation Mokhwetha, Mabula makobakmothiba@gmail.com Maluleke, Gaza Mothiba, Makoba Melidah Kholofelo UCTD Black-Scholes equation Lie symmetries Adomian decomposition method Heat equation Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022. In this study, we discuss derivatives, Lie symmetries and invariant solutions of the Black Scholes equation. We combine the Lie group methods with the Adomian decomposition method to solve the Black and Scholes equation via the heat equation. We further discuss several examples to illustrate the theory in this study Mathematics and Applied Mathematics MSc (Applied Mathematics) Unrestricted 2022-12-21T12:16:36Z 2022-12-21T12:16:36Z 2023-04-15 2022 Dissertation * A2023 https://repository.up.ac.za/handle/2263/88846 en © 2022 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Black-Scholes equation Lie symmetries Adomian decomposition method Heat equation Invariant solutions of the Black-Scholes equation |
| title | Invariant solutions of the Black-Scholes equation |
| title_full | Invariant solutions of the Black-Scholes equation |
| title_fullStr | Invariant solutions of the Black-Scholes equation |
| title_full_unstemmed | Invariant solutions of the Black-Scholes equation |
| title_short | Invariant solutions of the Black-Scholes equation |
| title_sort | invariant solutions of the black scholes equation |
| topic | UCTD Black-Scholes equation Lie symmetries Adomian decomposition method Heat equation |
| url | https://repository.up.ac.za/handle/2263/88846 |