Group classification for a class of non-linear models of the RAPM type

DOI10.1016/J.CNSNS.2020.105471MaRDI QIDQ2211989zbMATH OpenOpenAlexFDO

Authors Mikhail M. Dyshaev, Vladimir E. Fedorov

Publication date 17 November 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2020.105471

zbMATH Keywords

group classificationLie group analysisnonlinear Black-Scholes type equationpricing options

Mathematics Subject Classification ID

Lie algebras of Lie groups (22E60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A Black--Scholes option pricing model with transaction costs
• A note on Wick products and the fractional Black-Scholes model
• Comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity
• Computing option pricing models under transaction costs
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics
• Group classification for a general nonlinear model of option pricing
• Hedge and speculate: replicating option payoffs with limit and market orders
• scientific article; zbMATH DE number 3823674 (Why is no real title available?)
• scientific article; zbMATH DE number 7365010 (Why is no real title available?)
• Invariant solutions for nonlinear models of illiquid markets
• Lie symmetry analysis of differential equations in finance
• Markets with transaction costs. Mathematical theory.
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• On Leland's strategy of option pricing with transactions costs
• On the numerical solution of nonlinear Black-Scholes equations
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Study of the risk-adjusted pricing methodology model with methods of geometrical analysis
• Symmetries and exact solutions of a nonlinear pricing options equation
• Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory
• The pricing of options and corporate liabilities

Cited in

(3)

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• Invariant solutions of the Guéant-Pu model of options pricing and hedging

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