Lie symmetry analysis, and exact solutions to the time–fractional Black–Scholes equation of the Caputo–type
نویسندگان
1 Department of Mathematics, Maku Branch, Islamic Azad University, Maku, Iran.
2 Faculty of Mathematics and Computer Science, University of Tabriz, Tabriz, Iran.
3 Faculty of Mathematics and Computer Science, University of Tabriz, Tabriz, Iran.
doi
10.22034/cmde.2024.59096.2510چکیده
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.
