LIE THEORETIC PERSPECTIVE OF
BLACK-SCHOLES EQUATION UNDER
STOCHASTIC HESTON MODEL

Abstract

This study examines a classical Black-Scholes (BC) model for stochastic volatility with Heston process from Lie symmetry perspective. In the same way the study includes a classification of point symmetries and the corresponding modified local one-parameter transformations. Lie symmetry analysis is presented for the case where the volatility is a stochastic process. Furthermore, an invariant solutions are calculated and illustrated numerically.

Citation details of the article



Journal: International Journal of Applied Mathematics
Journal ISSN (Print): ISSN 1311-1728
Journal ISSN (Electronic): ISSN 1314-8060
Volume: 33
Issue: 5
Year: 2020

DOI: 10.12732/ijam.v33i5.2

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