Conservation laws for the Black–Scholes equation |
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| Authors: | RM Edelstein KS Govinder |
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| Institution: | aAstrophysics and Cosmology Research Unit, School of Mathematical Sciences, University of KwaZulu-Natal, Private Bag X54001, Durban 4000, South Africa |
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| Abstract: | In the search for solutions to the important partial differential equation due to Black, Scholes and Merton potential symmetries are very useful as new solutions of the equation can be obtained as a result. These potential symmetries require that the equation be written in conserved form, ie. we need to determine conservation laws for the equation. We calculate the conservation laws utilizing the point symmetries of the equation following the method of Kara and Mahomed A.H. Kara, F.M. Mahomed, The relationship between symmetries and conservation laws, Int. J. Theor. Phys. 39 (2000) 23–40]. |
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| Keywords: | Partial differential equations Conservation laws Potential symmetries Black– Scholes equation |
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