Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black–Scholes equation

Abstract

The topic of the present paper concentrates on a systematic investigation of Lie group analysis of non-linear time-fractional Black–Scholes equation including numerical approximations. Lie point symmetries of the equation are found via Riemann–Liouville derivative with four different volatility models. Also the invariant solutions as a kind of exact solutions are constructed by a useful explained method. Conservation laws for the intended equation are derived by using a modified version of Noether’s theorem. A numerical simulation by Chebyshev pseudo-spectral (CPS) method is computed for the equation. Approximate solutions together with their absolute errors are found and the graphs of solutions are plotted by the action of order of derivative α.