On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model

DOI10.1007/978-3-540-69532-5_5MaRDI QIDQ3528727zbMATH OpenOpenAlexFDO

Authors Ljudmila A. Bordag

Publication date 17 October 2008

Published in Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5856

Mathematics Subject Classification ID

Brownian motion (60J65) Portfolio theory (91G10)

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(17)

• A nonlinear option pricing model through the Adomian decomposition method
• Study of the risk-adjusted pricing methodology model with methods of geometrical analysis
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• Group classification for a general nonlinear model of option pricing
• Invariant solutions for nonlinear models of illiquid markets
• On some option pricing models on illiquid markets
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Group analysis of the Guéant and Pu model of option pricing and hedging
• Symmetries and exact solutions of a nonlinear pricing options equation
• Invariant solutions of the Guéant-Pu model of options pricing and hedging
• Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
• scientific article; zbMATH DE number 7174153 (Why is no real title available?)
• Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
• An investigation on nonlinear option pricing behaviours through a new Fréchet derivative-based quadrature approach

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