scientific article; zbMATH DE number 7367099

DOI10.24411/2500-0101-2018-13401zbMath1465.91111MaRDI QIDQ4999718

Anna S. Avilovich, Mikhail M. Dyshaev, Dmitriĭ Aleksandrovich Pletnëv, Vladimir Evgenyevich Fedorov

Publication date: 2 July 2021

Full work available at URL: http://mathnet.ru/eng/chfmj113

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zbMATH Keywords

illiquid marketoptions pricingfutures-style optionnonlinear Black-Scholes type model

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) Geometric theory, characteristics, transformations in context of PDEs (35A30) Solutions to PDEs in closed form (35C05)

Cites Work

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