Conserved densities of the Black-Scholes equation

Mao Chang Qin; Feng Xiang Mei; Mei Shang

doi:10.1088/0256-307X/22/4/001

Conserved densities of the Black-Scholes equation

Mao Chang Qin^*, Feng Xiang Mei, Mei Shang

^*此作品的通讯作者

宇航学院

Beijing Institute of Technology

科研成果: 期刊稿件 › 文章 › 同行评审

5 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	785-786
页数	2
期刊	Chinese Physics Letters
卷	22
期	4
DOI	https://doi.org/10.1088/0256-307X/22/4/001
出版状态	已出版 - 4月 2005

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title = "Conserved densities of the Black-Scholes equation",

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.",

author = "Qin, {Mao Chang} and Mei, {Feng Xiang} and Mei Shang",

year = "2005",

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AB - 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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DO - 10.1088/0256-307X/22/4/001

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VL - 22

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JO - Chinese Physics Letters

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Conserved densities of the Black-Scholes equation

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