Title of article :
Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type
Author/Authors :
Najafi ، Ramin Department of Mathematics - Islamic Azad University, Maku Branch , Bahrami ، Fariba Faculty of Mathematics and Computer Science - University of Tabriz , Vafadar ، Parisa Faculty of Mathematics and Computer Science - University of Tabriz
Abstract :
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.
Keywords :
Lie symmetry analysis , Time–fractional Black–Scholes equation , Caputo fractional derivative , Invariant solutions
Journal title :
Computational Methods for Differential Equations
Journal title :
Computational Methods for Differential Equations
