In this study, the Lie symmetry analysis, and exact solutions are investigated to the fractional Black–Scholes(B-S) equations of the Caputo–type modeling of the pricing options under the absence of arbitrage and self-financing portfolio assumptions. A class of exact invariant and solitary solutions are given to B-S equations. Some examples are presented in which we use the obtained reductions to find their exact solutions.
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Najafi, R., Bahrami, F., & Vafadar, P. (2024). Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type. Computational Methods for Differential Equations, 12(4), 638-650. doi: 10.22034/cmde.2024.59096.2510
MLA
Ramin Najafi; Fariba Bahrami; Parisa Vafadar. "Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type". Computational Methods for Differential Equations, 12, 4, 2024, 638-650. doi: 10.22034/cmde.2024.59096.2510
HARVARD
Najafi, R., Bahrami, F., Vafadar, P. (2024). 'Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type', Computational Methods for Differential Equations, 12(4), pp. 638-650. doi: 10.22034/cmde.2024.59096.2510
VANCOUVER
Najafi, R., Bahrami, F., Vafadar, P. Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type. Computational Methods for Differential Equations, 2024; 12(4): 638-650. doi: 10.22034/cmde.2024.59096.2510