scholarly journals Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation

Computation ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 57
Author(s):  
Winter Sinkala ◽  
Tembinkosi F. Nkalashe
Keyword(s):  
Differential Equation ◽  
Brain Tumor ◽  
Spatial Dynamics ◽  
Lie Symmetry ◽  
Financial Mathematics ◽  
European Option ◽  
Fair Price ◽  
Lie Symmetry Analysis ◽  
Partial Differential ◽  
Black Scholes

Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation. The Black–Scholes and tumor equations are partial differential equations that arise in very different contexts. The tumor equation is used to model propagation of brain tumor, while the Black–Scholes equation arises in financial mathematics as a model for the fair price of a European option and other related derivatives. We use Lie symmetry analysis to establish a mapping between them and hence deduce solutions of the tumor equation from solutions of the Black–Scholes equation.

scholarly journals Symmetry Analysis and Conservation Laws of a Generalization of the Kelvin-Voigt Viscoelasticity Equation

Symmetry ◽  
2019 ◽  
Vol 11 (7) ◽  
pp. 840 ◽  
Author(s):  
Almudena P. Márquez ◽  
María S. Bruzón
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Partial Differential Equation ◽  
Conservation Laws ◽  
Mechanical Behaviour ◽  
Lie Symmetry ◽  
Symmetry Analysis ◽  
Lie Point Symmetries ◽  
Lie Symmetry Analysis ◽  
Partial Differential

In this paper, we study a generalization of the well-known Kelvin-Voigt viscoelasticity equation describing the mechanical behaviour of viscoelasticity. We perform a Lie symmetry analysis. Hence, we obtain the Lie point symmetries of the equation, allowing us to transform the partial differential equation into an ordinary differential equation by using the symmetry reductions. Furthermore, we determine the conservation laws of this equation by applying the multiplier method.

scholarly journals Symmetry determination and nonlinearization of a nonlinear time-fractional partial differential equation

2020 ◽  
Vol 476 (2233) ◽  
pp. 20190564
Author(s):  
Zhi-Yong Zhang
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Lie Algebra ◽  
Infinitesimal Generator ◽  
Linear Time ◽  
Lie Symmetry ◽  
Fractional Partial Differential Equation ◽  
Partial Differential ◽  
Fractional Pde ◽  
Leading Position

We first show that the infinitesimal generator of Lie symmetry of a time-fractional partial differential equation (PDE) takes a unified and simple form, and then separate the Lie symmetry condition into two distinct parts, where one is a linear time-fractional PDE and the other is an integer-order PDE that dominates the leading position, even completely determining the symmetry for a particular type of time-fractional PDE. Moreover, we show that a linear time-fractional PDE always admits an infinite-dimensional Lie algebra of an infinitesimal generator, just as the case for a linear PDE and a nonlinear time-fractional PDE admits, at most, finite-dimensional Lie algebra. Thus, there exists no invertible mapping that converts a nonlinear time-fractional PDE to a linear one. We illustrate the results by considering two examples.

scholarly journals A Truncation Method for Solving the Time-Fractional Benjamin-Ono Equation

2019 ◽  
Vol 2019 ◽  
pp. 1-7 ◽  
Author(s):  
Mohamed R. Ali
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Power Series ◽  
Fractional Order ◽  
Nonlinear Ordinary Differential Equation ◽  
Lie Symmetry ◽  
Series Method ◽  
Lie Symmetry Analysis ◽  
Power Series Method ◽  
Bo Equation

We deem the time-fractional Benjamin-Ono (BO) equation out of the Riemann–Liouville (RL) derivative by applying the Lie symmetry analysis (LSA). By first using prolongation theorem to investigate its similarity vectors and then using these generators to transform the time-fractional BO equation to a nonlinear ordinary differential equation (NLODE) of fractional order, we complete the solutions by utilizing the power series method (PSM).

scholarly journals Numerical Solution of European and American Option with Dividends using Finite Difference Methods

2020 ◽  
Vol 13 (13) ◽  
pp. 55-61
Author(s):  
Kedar Nath Uprety ◽  
Ganesh Prasad Panday
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Numerical Solutions ◽  
Finite Difference Methods ◽  
Analytical Formula ◽  
Partial Differential ◽  
Dividend Payments ◽  
Fully Implicit ◽  
Black Scholes ◽  
Nicolson Scheme

Numerical methods form an important part of the pricing of financial derivatives where there is no closed form analytical formula. Black-Scholes equation is a well known partial differential equation in financial mathematics. In this paper, we have studied the numerical solutions of the Black-Scholes equation for European options (Call and Put) as well as American options with dividends. We have used different approximate to discretize the partial differential equation in space and explicit (Forward Euler’s), fully implicit with projected Successive Over-Relaxation (SOR) algorithm and Crank-Nicolson scheme for time stepping. We have implemented and tested the methods in MATLAB. Finally, some numerical results have been presented and the effects of dividend payments on option pricing have also been considered.

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