Lie Group Analysis of Nonlinear Black-Scholes Models

DOI10.1007/978-3-319-61282-9_7zbMath1420.91407OpenAlexW2755170421MaRDI QIDQ4626496

Ljudmila A. Bordag, Ivan P. Yamshchikov

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_7

zbMATH Keywords

Lie groupnonlinear PDEportfolio optimizationfinancial illiquidity

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
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