AUTHOREA
Log in Sign Up Browse Preprints
LOG IN SIGN UP
Kam Yoon Chong
Kam Yoon Chong

Public Documents 1
Lie symmetry analysis of a time fractional arbitrage-free stock price model
Kam Yoon Chong
John O'Hara

Kam Yoon Chong

and 1 more

January 31, 2024
In 2009, Bell and Stelljes described a method for constructing a class of solvable arbitrage-free models for stock prices. As a result, a second-order partial differential equation that is similar to the classical Black-Scholes equation was yielded and two solutions of the equation were given. Later in 2016, Sinkala extended this result using the Lie symmetry analysis. In this paper, Sinkala's work is extended to a time fractional arbitrage-free stock price model using the Lie symmetry analysis. Employing the algorithmic package developed by Jefferson, the determining equations of the fractional model are solved. Finally an optimal system and some examples of invariant solutions are presented.

| Powered by Authorea.com

  • Home