scientific article; zbMATH DE number 7365010

zbMath1464.35007MaRDI QIDQ4997791

Mikhail M. Dyshaev

Publication date: 30 June 2021

Full work available at URL: http://mathnet.ru/eng/chfmj26

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

group analysisnonlinear partial differential equationinvariant solutionnonlinear Black-Scholes equationinvariant submodelSchönbucher-Wilmott equationSircar-Papanicolaou equation

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) 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 ⋮ Unnamed Item ⋮ Group classification for a class of non-linear models of the RAPM type

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• Lie symmetry analysis of differential equations in finance
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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