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Isovectors for the Black-Scholes equation

GFM seminar

CIUL, B1-01

2008-07-30 14:30 .. 14:30

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by Paul Lescot (Université de Rouen, França)

We compute the isovectors for the Black-Scholes equations by a method broadly similar to the one used for the heat equation (resp. the heat equation with potential term) in joint papers with J.-C. Zambrini (see Progress in Probability vols 58 and 59). It turns out that this computation suggests Black and Scholes' original solution method for their equation; in particular, the quantities $r-\frac{{\sigma}^{2}}{2}$ and $r+\frac{{\sigma}^{2}}{2}$ appear naturally in this context.

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