Linearly autonomous symmetries of a fractional Guéant-Pu model

DOI10.1134/S0001434623110706MaRDI QIDQ6194315

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Publication date: 19 March 2024

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

symmetryoption pricingLie algebrapartial differential equationgroup analysisequivalence transformationlinearly autonomous transformation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
• Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
• Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging
• Invariant solutionsof the Gu´eant - Pu model of options pricing and hedging
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
• Recursion operators for the Guéant-Pu model
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