Conservation law, exact solutions and numerical approximate of the Barles-Soner non-linear equation

Document Type : Research Paper

Authors

Department of Mathematical Sciences, Shahrood University of Technology, Shahrood, Semnan, Iran.

Abstract

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.

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Main Subjects



Articles in Press, Accepted Manuscript
Available Online from 11 November 2024
  • Receive Date: 05 August 2023
  • Revise Date: 25 October 2024
  • Accept Date: 04 November 2024