Conserved Densities of the Black-Scholes Equation
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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.
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QIN Mao-Chang, MEI Feng-Xiang, SHANG Mei. Conserved Densities of the Black-Scholes Equation[J]. Chin. Phys. Lett., 2005, 22(4): 785-786.
QIN Mao-Chang, MEI Feng-Xiang, SHANG Mei. Conserved Densities of the Black-Scholes Equation[J]. Chin. Phys. Lett., 2005, 22(4): 785-786.
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QIN Mao-Chang, MEI Feng-Xiang, SHANG Mei. Conserved Densities of the Black-Scholes Equation[J]. Chin. Phys. Lett., 2005, 22(4): 785-786.
QIN Mao-Chang, MEI Feng-Xiang, SHANG Mei. Conserved Densities of the Black-Scholes Equation[J]. Chin. Phys. Lett., 2005, 22(4): 785-786.
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