Conserved Densities of the Black-Scholes Equation

Chin. Phys. Lett.

2005, Vol. 22

Issue (4): 785-786 DOI:

Original Articles

Conserved Densities of the Black-Scholes Equation

QIN Mao-Chang;MEI Feng-Xiang;SHANG Mei

Department of Applied Mechanics, Beijing Institute of Technology, Beijing 100081

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QIN Mao-Chang, MEI Feng-Xiang, SHANG Mei 2005 Chin. Phys. Lett. 22 785-786

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Abstract A class of new conserved densities of the Black-Scholes equation are constructed by using the multiplier that is derived from the result of divergence expression annihilation under the full Euler operator. The method does not depend on the symmetries of the Black-Scholes equation. These conserved densities can be expressed by solutions of the classical heat equation.

Keywords: 02.30.Jr 02.20.Sv

Published: 01 April 2005

PACS:	02.30.Jr	(Partial differential equations)
	02.20.Sv	(Lie algebras of Lie groups)

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https://cpl.iphy.ac.cn/ OR https://cpl.iphy.ac.cn/Y2005/V22/I4/0785

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