Invariant solutions for nonlinear models of illiquid markets

DOI10.1002/MMA.4772zbMath1406.35419OpenAlexW2791589408MaRDI QIDQ4614489

Mikhail M. Dyshaev, Vladimir Evgenyevich Fedorov

Publication date: 31 January 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.4772

zbMATH Keywords

option pricingnonlinear parabolic equationssymmetry analysisgroup classificationnonlinear Black-Scholes equationsLie group and algebra methodsfeedback effects of hedging

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ Unnamed Item ⋮ Group classification for a class of non-linear models of the RAPM type ⋮ Invariant solutionsof the Gu´eant - Pu model of options pricing and hedging

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