scientific article; zbMATH DE number 7365590

zbMath1465.91110MaRDI QIDQ4997920

Mikhail M. Dyshaev

Publication date: 1 July 2021

Full work available at URL: http://mathnet.ru/eng/chfmj42

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zbMATH Keywords

stochastic processpartial differential equationBlack-Scholes modelinitial boundary value problemilliquid marketoptions pricingSircar-Papanicolaou modelSchönbucher-Wilmott model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Unnamed Item ⋮ Invariant solutionsof the Gu´eant - Pu model of options pricing and hedging

Cites Work

• 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
• Market Volatility and Feedback Effects from Dynamic Hedging
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• A Microeconomic Approach to Diffusion Models For Stock Prices
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING
• Symmetries and exact solutions of a nonlinear pricing options equation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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