Symmetries and exact solutions of a nonlinear pricing options equation

DOI10.13108/2017-9-1-29zbMath1463.58016OpenAlexW2610531686MaRDI QIDQ5136681

Mikhail M. Dyshaev, Vladimir Evgenyevich Fedorov

Publication date: 27 November 2020

Published in: Ufimskii Matematicheskii Zhurnal (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/ufa363

zbMATH Keywords

group analysisnonlinear partial differential equationinvariant solutionnonlinear Black-Scholes equationpricing optionsSchönbucher-Wilmott model

Mathematics Subject Classification ID

Invariance and symmetry properties for PDEs on manifolds (58J70) Geometric theory, characteristics, transformations in context of PDEs (35A30) Symmetry analysis, Lie group and Lie algebra methods applied to problems in fluid mechanics (76M60) Actuarial science and mathematical finance (91G99)

Related Items (5)

Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Symmetry reduction and exact solutions of the non-linear Black-Scholes equation ⋮ Group classification for a class of non-linear models of the RAPM type

Cites Work

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• Market Volatility and Feedback Effects from Dynamic Hedging
• THE GARCH OPTION PRICING MODEL
• The illusions of dynamic replication
• Numerical Methods in Finance and Economics
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• On Feedback Effects from Hedging Derivatives
• The Feedback Effect of Hedging in Illiquid Markets

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