Symmetry and Integrability of Equations of Mathematical Physics − 2018

Stanislav Spichak (Institute of Mathematics of NAS of Ukraine, Kyiv, Ukraine)
Valeriy Stogniy (National Technical University of Ukraine “Kyiv Polytechnic Institute", Kyiv, Ukraine)

Symmetric properties and exact solutions of the linear equation of pricing of the Asian option

Abstract:
The symmetric properties of the linear equation of pricing of the Asian option are investigated. The classification of non-equivalent one-dimensional and two-dimensional subalgebras of the maximal invariance algebra of the equation is made. Using these subalgebras symmetric reductions were found and then wide classes of exact solutions were constructed.