Browsing by Subject "Transaction cost"
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Article
Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
(2013)We demonstrate the power of symmetry in the resolution of some evolution partial differential equations which arise in various aspects of finance. The essential theme is that which Lie promulgated approximately 140 years ...
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Article
Erratum: The application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition [J Eng Math, 82, (2013), 67-75, DOI 10.1007/s10665-012-9595-4]
(2015)In an analysis of the Lie point symmetries of the equation which allows for the inclusion of transaction costs into the Black–Scholes model (J Eng Math 82:67–75, 2013) one of the symmetries was omitted. We rectify that ...