Application of lie symmetrics to solving fractional black-scholes option pricing model in financial mathematics

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dc.contributor.authorRamoeletsi, Realeboha
dc.contributor.supervisorKaibe, Bosiu, Ngaka Nchejane
dc.date.accessioned2022-02-21T08:32:26Z
dc.date.available2022-02-21T08:32:26Z
dc.date.issued2022-10-21
dc.description.abstractWe perform Lie symmetry analysis to the fractional Black-Scholes option pricing model whose price evolution is described in terms of a partial di erential equation (PDE). As a result, new complete Lie symmetry group and in nitesimal generators of the one-dimensional fractional Black-Scholes pricing model are derived. Furthermore, we compute a family of exact invariant solutions that constitute the pricing models for the Black-Scholes model using the associated in nitesimal generators and the corresponding similarity reduction equations. Using known solutions, more solutions are generated via group point transformationsen_ZA
dc.description.degreeM Applied Mathematicsen_ZA
dc.description.sponsorshipNational Manpower Development Secretariaten_ZA
dc.identifier.urihttps://repository.tml.nul.ls/handle/20.500.14155/1675
dc.language.isoenen_ZA
dc.publisherNational University of Lesothoen_ZA
dc.rightsRamoeletsi Realebohaen_ZA
dc.sourceOnlineen_ZA
dc.subjectLie point symmetries, fractional Black-Scholes, option pricing, financial mathematicsen_ZA
dc.titleApplication of lie symmetrics to solving fractional black-scholes option pricing model in financial mathematicsen_ZA
dc.typeThesisen_ZA
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