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A comparative study of black-scholes equation
(Selcuk University Research Center of Applied Mathematics, 2009) Polat, Refet
In this paper, we analyzed Options and Black Scholes Models for the valuing and pricing of commodities. In particular, we examined the numerical solution techniques of American Option Problems. For the comparison of the results pertaining to different methods, we used classical methods utilizing chronological order. Then we compared the results of these methods and tried to determine the most efficient method.
Lie symmetries of the black-scholes equation
(Selcuk University Research Center of Applied Mathematics, 2010) Polat, Refet
In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literature for Black-Scholes equation, we expanded the equation into a parametric form by adding a coefficient a. By using this expansion the dimension of the solution spaces is increased by one and symmetry reduction will be done with the deterministic equations in the new increased solution spaces.