Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
We perform a classification of the Lie point symmetries for the Black-Scholes-Merton Model for European options with stochastic volatility, σ, in which the last is defined by a stochastic differential equation with an Orstein-Uhlenbeck term. In this model, the value of the option is given by a linea...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-05-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/4/2/28 |