Lie symmetry analysis of a first-order feedback model of option pricing (Q277917): Difference between revisions
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Summary: A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis. This model arises as an extension of the classical Black-Scholes model when liquidity is incorporated into the market. We compute the admitted Lie point symmetries of the system and construct an optimal system of the associated one-dimensional subalgebras. We also construct some invariant solutions of the model. | |||
| Property / review text: Summary: A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis. This model arises as an extension of the classical Black-Scholes model when liquidity is incorporated into the market. We compute the admitted Lie point symmetries of the system and construct an optimal system of the associated one-dimensional subalgebras. We also construct some invariant solutions of the model. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 35Q91 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6575797 / rank | |||
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| Property / zbMATH Keywords | |||
feddback | |||
| Property / zbMATH Keywords: feddback / rank | |||
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| Property / zbMATH Keywords | |||
Black-Scholes equation | |||
| Property / zbMATH Keywords: Black-Scholes equation / rank | |||
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| Property / zbMATH Keywords | |||
Lie symmetry analysis | |||
| Property / zbMATH Keywords: Lie symmetry analysis / rank | |||
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Revision as of 17:55, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
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| English | Lie symmetry analysis of a first-order feedback model of option pricing |
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Lie symmetry analysis of a first-order feedback model of option pricing (English)
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2 May 2016
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Summary: A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis. This model arises as an extension of the classical Black-Scholes model when liquidity is incorporated into the market. We compute the admitted Lie point symmetries of the system and construct an optimal system of the associated one-dimensional subalgebras. We also construct some invariant solutions of the model.
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feddback
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Black-Scholes equation
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Lie symmetry analysis
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