Research Article
Analytical Studies on Option Pricing Model
2022
1
1
14-18
31.05.2022
2822-4566
The well-known model for an option pricing is the Black-Scholes model. To obtain analytical solutions of the Black-Scholes equation the combination of Lie group transformation and Chebyshev approximation is considered. But instead of the classical Black-Scholes equation in this work the parametric expansion of the Black-Scholes equation is considered. Due to the modification of the equation, the implementation of the Lie group symmetries is modified too.
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