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The Lie symmetry approach on (1+2)-dimensional financial models

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Listed:
  • K. Charalambous

    (University of Cyprus
    University of Nicosia)

  • S. Kontogiorgis

    (University of Cyprus)

  • C. Sophocleous

    (University of Cyprus)

Abstract

We consider a class of nonlinear (1+2) partial differential equations which generalizes a number of models which appear in financial mathematics. These models are subject to specific terminal conditions. Lie symmetries are used to construct two successive mappings that reduce the problems into problems with new governing equations being ordinary differential equations. The same analysis is applied to general terminal conditions. In most cases, the first reduction results to linearizable equations. We discuss linearization for a general class which includes these reduced equations.

Suggested Citation

  • K. Charalambous & S. Kontogiorgis & C. Sophocleous, 2021. "The Lie symmetry approach on (1+2)-dimensional financial models," Partial Differential Equations and Applications, Springer, vol. 2(4), pages 1-17, August.
    • Handle: RePEc:spr:pardea:v:2:y:2021:i:4:d:10.1007_s42985-021-00112-9
    DOI: 10.1007/s42985-021-00112-9
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    References listed on IDEAS

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