Study of the risk-adjusted pricing methodology model with methods of geometrical analysis

DOI10.1080/17442508.2010.489642zbMath1234.35130arXiv0911.0113OpenAlexW2038335889MaRDI QIDQ3108366

Ljudmila A. Bordag

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.0113

zbMATH Keywords

singular perturbationexact solutionstransaction costsLie group analysisBlack-Scholes equationsinvariant reductions

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Singular perturbations in context of PDEs (35B25) Lie algebras of Lie groups (22E60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Symmetries, invariants, etc. in context of PDEs (35B06)

Related Items (7)

Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Group classification for a class of non-linear models of the RAPM type ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs ⋮ Unnamed Item

Cites Work

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• Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
• Markets with transaction costs. Mathematical theory.
• On Leland's strategy of option pricing with transactions costs
• Perfect option hedging for a large trader
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• 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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