✦ LIBER ✦
Symmetry analysis of the option pricing model with dividend yield from financial markets
✍ Scribed by Yifang Liu; Deng-Shan Wang
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 269 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0893-9659
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✦ Synopsis
In this work, the option pricing Black-Scholes model with dividend yield is investigated via Lie symmetry analysis. As a result, the complete Lie symmetry group and infinitesimal generators of the one-dimensional Black-Scholes equation are derived. On the basis of these infinitesimal generators, the similarity variables and newly explicit solutions of the Black-Scholes equation are obtained by solving the corresponding characteristic equations. Finally, figures for an explicit solution with different dividend yields are presented to demonstrate the novel properties.