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

DOI10.47475/2500-0101-2021-16104zbMath1470.91294OpenAlexW3160986201MaRDI QIDQ5153882

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Publication date: 1 October 2021

Published in: Челябинский физико-математический журнал (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/chfmj224

zbMATH Keywords

hedgingLie algebrainvariant solutionoptions pricingBlack-Scholes type equationGuéant-Pu model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Symmetries of fractional Guéant-Pu model with Gerasimov-Caputo time-derivative ⋮ Linearly autonomous symmetries of a fractional Guéant-Pu model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Group classification for a class of non-linear models of the RAPM type
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Invariant solutions for nonlinear models of illiquid markets
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
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