具有时间相关系数的时间分数 Black-Scholes 方程的分组分类

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS

ACS Applied Bio Materials Pub Date : 2024-09-16 DOI:10.1007/s13540-024-00339-4

Jicheng Yu, Yuqiang Feng

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引用次数: 0

摘要

本文提出了具有时间相关系数的时间分数 Black-Scholes 方程的李对称性分析。通过研究随时间变化的系数 $\sigma(t)$、r(t) 和 s(t) 进行组分类。然后利用得到的组生成器对所研究的方程进行还原，其中一些还原方程是带有 Erdélyi-Kober 分数导数的分数普通方程，并构造了一些精确解，包括幂级数解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

$Group classification of time fractional Black-Scholes equation with time-dependent coefficients$

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Group classification of time fractional Black-Scholes equation with time-dependent coefficients

In this paper, we present Lie symmetry analysis for time fractional Black-Scholes equation with time-dependent coefficients. The group classification is carried out by investigating the time-dependent coefficients $\sigma (t)$, r(t) and s(t). Then the obtained group generators are used to reduce the equation under study, some of the reduced equations are fractional ordinary equations with Erdélyi-Kober fractional derivative, and some exact solutions including power series solutions are constructed.

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来源期刊

ACS Applied Bio Materials Chemistry-Chemistry (all)

CiteScore

9.40

自引率

2.10%

发文量

464