Solving option pricing equations is one of the most important challenges facing financial mathematics. In this article, a non-linear model is assumed for the market and the European option is priced under this model. To solve the pricing problem accurately, the Lie algebra method has been used. The conservation laws of the model have been calculated using Lie direct method, as well. Numerical simulation of the model has been done using the finite difference method.
Seifi, M. H., Dastranj, E., & Sahebi Fard, H. (2024). Conservation law, exact solutions and numerical approximate of the Barles-Soner non-linear equation. Computational Methods for Differential Equations, (), -. doi: 10.22034/cmde.2024.57869.2430
MLA
Mohammad Hossein Seifi; Elham Dastranj; Hossein Sahebi Fard. "Conservation law, exact solutions and numerical approximate of the Barles-Soner non-linear equation". Computational Methods for Differential Equations, , , 2024, -. doi: 10.22034/cmde.2024.57869.2430
HARVARD
Seifi, M. H., Dastranj, E., Sahebi Fard, H. (2024). 'Conservation law, exact solutions and numerical approximate of the Barles-Soner non-linear equation', Computational Methods for Differential Equations, (), pp. -. doi: 10.22034/cmde.2024.57869.2430
VANCOUVER
Seifi, M. H., Dastranj, E., Sahebi Fard, H. Conservation law, exact solutions and numerical approximate of the Barles-Soner non-linear equation. Computational Methods for Differential Equations, 2024; (): -. doi: 10.22034/cmde.2024.57869.2430
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