Lie symmetry reductions and exact solutions of an option-pricing equation for large agents

DOI10.1007/s00009-015-0569-4zbMath1344.35153OpenAlexW299320180MaRDI QIDQ305826

Tanki Motsepa, Senkepeng Louisa Lekalakala, Chaudry Masood Khalique

Publication date: 31 August 2016

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-015-0569-4

zbMATH Keywords

group-invariant solutionsLie point symmetriesnonlinear Black-Scholes equationoptimal system of one-dimensional subalgebras

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Solutions to PDEs in closed form (35C05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Classical solutions to PDEs (35A09)

Related Items (3)

Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance ⋮ Explicit Solutions and Conservation Laws of a (2+1)-dimensional KP-Joseph-Egri Equation with Power Law Nonlinearity ⋮ Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model

Cites Work

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• Perfect option hedging for a large trader
• Relationship between symmetries and conservation laws
• Hedging options for a large investor and forward-backward SDE's
• Option pricing for large agents
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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