Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions

DOI10.1134/S1995080210020022zbMath1254.91721arXiv1002.0864OpenAlexW2238029017MaRDI QIDQ694335

Ljudmila A. Bordag

Publication date: 12 December 2012

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0864

zbMATH Keywords

explicit solutionsnonlinearityLie group analysisilliquid market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ Study of the risk-adjusted pricing methodology model with methods of geometrical analysis

Cites Work

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• Perfect option hedging for a large trader
• Liquidity risk and arbitrage pricing theory
• Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• Exit Time Problems in Optimal Control and Vanishing Viscosity Method
• Subalgebras of real three- and four-dimensional Lie algebras
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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