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
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
关键词 ：
02.30.Jr ,
02.20.Sv
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.
Key words ：
02.30.Jr
02.20.Sv
出版日期: 2005-04-01
:
02.30.Jr
(Partial differential equations)
02.20.Sv
(Lie algebras of Lie groups)
引用本文:
QIN Mao-Chang;MEI Feng-Xiang;SHANG Mei. Conserved Densities of the Black-Scholes Equation[J]. 中国物理快报, 2005, 22(4): 785-786.
链接本文:
https://cpl.iphy.ac.cn/CN/
或
https://cpl.iphy.ac.cn/CN/Y2005/V22/I4/785
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2005, Vol. 22 
