GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING

DOI10.15826/umj.2016.2.004zbMath1398.91584OpenAlexW2560339558MaRDI QIDQ4581430

Mikhail M. Dyshaev, Vladimir Evgenyevich Fedorov

Publication date: 17 August 2018

Published in: Ural mathematical journal (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/umj19

zbMATH Keywords

group analysisnonlinear partial differential equationdynamic hedgingnonlinear Black-Scholes equationpricing optionsfeedback effects of hedginggroup classiffcationgroup of equivalency transformations

Mathematics Subject Classification ID

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

Related Items (4)

Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Group classification for a class of non-linear models of the RAPM type

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• Lie symmetry analysis of differential equations in finance
• Perfect option hedging for a large trader
• Market Volatility and Feedback Effects from Dynamic Hedging
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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